The Impact of Uncertainty on Forecasting the US Economy
Journal of Forecasting, EarlyView.ABSTRACT This paper examines the predictive value of uncertainty measures for key macroeconomic indicators across multiple forecast horizons. We evaluate how different uncertainty proxies—economic policy uncertainty (EPU), VIX, geopolitical risk, and measures of macroeconomic and financial uncertainty—enhance forecast accuracy for industrial production,
Angelica Ghiselli
wiley +1 more source
Determinants of chronic malnutrition among under-five children in Ethiopia using simultaneous quantile regression. [PDF]
Sci RepWarssamo BB, Belay DB, Chen DG.
europepmc +1 more source
Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach
Journal of Forecasting, EarlyView.ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant +2 more
wiley +1 more source
Evaluating the impact of subsurface hydraulic barriers on Qanat flow rates using quantile regression forest. [PDF]
Sci RepCan M, Vaheddoost B, Safari MJS.
europepmc +1 more source
Forecasting With Dynamic Factor Models Estimated by Partial Least Squares
Journal of Forecasting, EarlyView.ABSTRACT Dynamic factor models (DFMs) have found great success in nowcasting and short‐term macroeconomic forecasting when incorporating large sets of predictive information. The factor loadings are typically estimated cross‐sectionally with principal component analysis (PCA) or maximum likelihood (ML), which ignore whether the factors have predictive ...
Samuel Rauhala
wiley +1 more source
Uncertainty Quantification in Epigenetic Clocks via Conformalized Quantile Regression. [PDF]
Genet EpidemiolLi Y +4 more
europepmc +1 more source
Point and Risk estImation Using an enSemble of Models for Nowcasting: PRISM‐Now
Journal of Forecasting, EarlyView.ABSTRACT We propose PRISM‐Now, a novel ensemble forecasting system for near‐term GDP projection. Recognizing that relevant economic information evolves over time, we treat forecasts from multiple base models as draws from a mixture distribution of “good” and “bad” estimates, whose composition changes continuously and cannot be identified ex ante.
Beomseok Seo, Hyungbae Cho, Dongjae Lee
wiley +1 more source
Dissecting fuel demand elasticities in Ghana: A quantile regression analysis using the Marshallian demand framework. [PDF]
PLoS OneTakyi F +4 more
europepmc +1 more source
Nowcasting World Trade With Machine Learning: A Three‐Step Approach
Journal of Forecasting, EarlyView.ABSTRACT We nowcast world trade using machine learning, distinguishing between tree‐based methods (random forest and gradient boosting) and their linear‐regression‐based counterparts (macroeconomic random forest and gradient boosting—linear). While much less used in the literature, the latter are found to outperform not only the tree‐based techniques ...
Menzie Chinn +2 more
wiley +1 more source