Sökning: "Richard Ekberg"

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  1. 1. Evaluating forecast accuracy for Error Correction constraints and Intercept Correction

    Kandidat-uppsats, Statistiska institutionen

    Författare :Richard Eidestedt; Stefan Ekberg; [2013]
    Nyckelord :Forecast Accuracy; Vector Error Correction; Vector Autoregressive; Co-integration; Intercept Correction and Diebold-Mariano test;

    Sammanfattning : This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction (VEC) model that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction (IC), is considered for further comparison. LÄS MER