Forecast Relative Error Decomposition

• Tác giả: Christian Gourieroux, Quinlan Lee
• Ngôn ngữ: eng
• Ký hiệu phân loại: 303.49 Social forecasts
• Thông tin xuất bản: 2024
• Bộ sưu tập: Báo, Tạp chí
• ID: 203158

Tóm tắt

We introduce a class of relative error decomposition measures that are well-suited for the analysis of shocks in nonlinear dynamic models. They include the Forecast Relative Error Decomposition (FRED), Forecast Error Kullback Decomposition (FEKD) and Forecast Error Laplace Decomposition (FELD). These measures are favourable over the traditional Forecast Error Variance Decomposition (FEVD) because they account for nonlinear dependence in both a serial and cross-sectional sense. This is illustrated by applications to dynamic models for qualitative data, count data, stochastic volatility and cyberrisk.