The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended.
{"title":"Combined Forecasts Using the Akaike Weights","authors":"M. Piłatowska","doi":"10.12775/DEM.2009.001","DOIUrl":"https://doi.org/10.12775/DEM.2009.001","url":null,"abstract":"The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"7 1","pages":"5-16"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. To obtain the VaR and ES measures the filtered historical simulation was used in new version proposed by Christoffersen. The results were verified using backtesting and the loss function.
{"title":"Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures","authors":"Joanna Górka","doi":"10.12775/DEM.2009.004","DOIUrl":"https://doi.org/10.12775/DEM.2009.004","url":null,"abstract":"Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. To obtain the VaR and ES measures the filtered historical simulation was used in new version proposed by Christoffersen. The results were verified using backtesting and the loss function.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"39-50"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables.
{"title":"The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland","authors":"A. Włodarczyk, M. Zawada","doi":"10.12775/DEM.2009.010","DOIUrl":"https://doi.org/10.12775/DEM.2009.010","url":null,"abstract":"The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"99-110"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66546274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate from the long-term equilibrium rate and the PPP theory is at variance with the data, two panel models were estimated to identify factors that influence exchange rates of Scandinavian and CEFTA countries.
{"title":"Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries","authors":"D. Górecka, Dominik Śliwicki","doi":"10.12775/DEM.2009.005","DOIUrl":"https://doi.org/10.12775/DEM.2009.005","url":null,"abstract":"In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate from the long-term equilibrium rate and the PPP theory is at variance with the data, two panel models were estimated to identify factors that influence exchange rates of Scandinavian and CEFTA countries.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"51-60"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The article contains a presentation of possibility of using panel-based sample and modelling based on this sample as methods of determining indicators of patent activity. The research was conducted with the help of data from European countries. Results in association with used methodology, which takes into account modern approach to stationary and cointegration for panel-based samples, indicate the usefulness of applied methods.
{"title":"Estimation of Disproportions in Patent Activity of OECD Countries Using Spatio-Temporal Methods","authors":"M. Szajt","doi":"10.12775/DEM.2009.009","DOIUrl":"https://doi.org/10.12775/DEM.2009.009","url":null,"abstract":"The article contains a presentation of possibility of using panel-based sample and modelling based on this sample as methods of determining indicators of patent activity. The research was conducted with the help of data from European countries. Results in association with used methodology, which takes into account modern approach to stationary and cointegration for panel-based samples, indicate the usefulness of applied methods.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"89 1","pages":"91-98"},"PeriodicalIF":0.0,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66545560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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