Forecasting when model stability is uncertain

模型稳定性不确定时的预测

• 批准号: DP150104292
• 负责人: Prof Heather Anderson
• 金额: $ 15.06万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2015
• 资助国家: 澳大利亚
• 起止时间: 2015-01-01 至 2021-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP150104292
• 关键词: Forecasting; when; model; stability; uncertain

Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project aims to develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It aims to derive relevant econometric theory, use simulations to study the properties of the proposed techniques, as well as apply these new techniques to observed data.

宏观经济和金融变量的预测在政府和金融机构进行的前瞻性规划中发挥着至关重要的作用，但这些系列的可预测性往往是特定的背景和时间，使得标准预测技术不可靠。该项目旨在开发新的建模和预测技术，以便在模型发生结构变化后不久适应这些变化。它的目的是推导相关的计量经济学理论，使用模拟来研究所提出的技术的属性，以及将这些新技术应用于观测数据。