lnu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Comparison of Conditioned Versus Unconditioned Forecasts of the VAR(1) Process
Högskolan i Jönköping.
Göteborgs universitet.
2005 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 34, no 2, 415-427 p.Article in journal (Refereed) Published
Abstract [en]

The properties of a forecast usually depend upon whether or not the forecast is conditioned on the final period observation. In the case of unconditioned forecasts, it is well known that the point predictions are unbiased. If, on the other hand, the forecast is conditional, then the forecast may be biased. Existing analytical results in literature are insufficient for describing the properties of the conditioned forecast properly, particularly in multivariate models. This article examines some finite sample properties of conditioned forecasts of the VAR(1) process by means of Monte Carlo experiments. We use a number of parameter settings for the VAR(1) process to demonstrate that the forecast bias of the conditioned forecast may be considerable. Hence, unless the analyst has a clear idea of whether the conditioned or unconditioned forecast is relevant for the time series being analyzed, statistical inferences may be seriously erratic.

Place, publisher, year, edition, pages
Taylor & Francis, 2005. Vol. 34, no 2, 415-427 p.
Keyword [en]
Conditioning, Forecast bias, Monte Carlo, VAR(1) process
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:lnu:diva-28557DOI: 10.1081/SAC-200055725OAI: oai:DiVA.org:lnu-28557DiVA: diva2:643532
Available from: 2013-08-27 Created: 2013-08-27 Last updated: 2017-12-06Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Holgersson, Thomas

Search in DiVA

By author/editor
Holgersson, Thomas
In the same journal
Communications in statistics. Simulation and computation
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 37 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf