We address the problem of prediction in the classical spatial autoregressive LAG model for areal data. In contrast with the spatial econometrics literature, the geostatistical literature has devoted much attention to prediction using the Best Linear Unbiased Prediction approach. From the methodological point of view, we explore the limits of the extension of BLUP formulas in the context of the ...

This paper focusses on survey expectations and discusses their uses for testing and modeling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations hypothesis which focusses on average expectations rather than individual expectations is advanced. Other mod...

This paper compares three reduced-form models of heterogeneity in survey inflation expectations. On the one hand, we specify two models of forecasting inflation based on limited information flows of the type developed in Mankiw and Reis [2002. Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117(4), 1295–1328]. We pr...

Forecasting Economic Aggregates by Disaggregates* We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate. We show theoretically that...

This chapter provides an overview of pseudo-out-of-sample tests of unconditional predictive ability. We begin by providing an overview of the literature, including both empirical applications and theoretical contributions. We then delineate two distinct methodologies for conducting inference: one based on the analytics in West (1996) and the other based on those in Giacomini and White (2006). T...

In down-payment constrained housing consumption models, increases in house prices could trigger household mobility decisions in housing markets. This study empirically tests house price dynamics associated with the mobility of households in the public resale and private housing markets in Singapore. The results show that stochastic permanent breaks were found in the public housing resale prices...

This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

This paper analyzes whether a wealth of information contained in 126 monthly series used by large-scale Bayesian Vector Autoregressive (LBVAR) models, as well as Factor Augmented Vector Autoregressive (FAVAR) models, either Bayesian or classical, can prove to be more useful in forecasting real house price growth rate of the nine census divisions of the US, compared to the small-scale VAR models...

A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and practical issues, which suggests an alternative framework is needed. The contribution of this study is...