Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153018 
Autor:innen: 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 584
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper argues that forecast estimators should minimise the loss function in a statistical, rather than deterministic, way. We introduce two new elements into the classical econometric analysis: a subjective guess on the variable to be forecasted and a probability reflecting the confidence associated to it. We then propose a new forecast estimator based on a test of whether the first derivatives of the loss function evaluated at the subjective guess are statistically different from zero. We show that the classical estimator is a special case of this new estimator, and that in general the two estimators are asymptotically equivalent. We illustrate the implications of this new theory with a simple simulation, an application to GDP forecast and an example of mean-variance portfolio selection.
Schlagwörter: 
asset allocation
Decision under uncertainty
estimation
overfitting
JEL: 
C13
C53
G11
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
532.58 kB





Publikationen in EconStor sind urheberrechtlich geschützt.