haku: @author Schinasi, G. J. / yhteensä: 3
viite: 3 / 3
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| Tekijä: | Swamy, P. A. V. B. Schinasi, G. J. |
| Otsikko: | Should fixed coefficients be re-estimated every period for extrapolation? (!Accuracy) |
| Lehti: | Journal of Forecasting
1989 : JAN-MAR, VOL. 8:1, p. 1-17 |
| Asiasana: | FORECASTING |
| Kieli: | eng |
| Tiivistelmä: | It is demonstrated that forecast accuracy is not necessarily improved when fixed-coefficient models are sequentially re-estimated and used for prediction. It is argued that although sequential estimation may minimize the variances of predictors based on some classes of estimators, sequential estimation does not necessarily yield accurate predictions. Minimizing the mean squared prediction error about the actual realization is a necessary condition for maximizing the probability that one predictor is more accurate than others. This minimization need not require, and may even exclude, the most recent data. An example is presented to show the superiority of predictions based on a nonsequential estimate of a coefficient model. |
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