Arbeitspapier
A Note on Updating Forecasts When New Information Arrives between Two Periods
In this note the author discusses the problem of updating forecasts in a time-discrete forecasting model when information arrives between the current period and the next period. To use the information that arrives between two periods, he assumes that the process between two periods can be approximated by a linear interpolation of the timediscrete forecasting model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new information arrives between the current period and the next period. He demonstrates by theoretical arguments and empirical examples that this updating rule is simple, intuitively appealing, defendable and useful.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2009-22
- Klassifikation
-
Wirtschaft
- Thema
-
Forecast
Prognoseverfahren
Information
Zeitreihenanalyse
Unit Root Test
Theorie
Schätzung
Verbraucherausgaben
Australien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Pu
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Pu
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2009
Ähnliche Objekte (12)
A Note on Updating Forecasts When New Information Arrives between Two Periods
Updating great expectations: The effect of peer salary information on own-earnings forecasts
UPDATING...
When all is said and done: updating “Elections, special interests, and financial crisis”
Pseudo-Bayesian updating
Updating Ambiguous Beliefs
Updating stochastic choice
Updating inflation expectations
Contingent belief updating
Updating inflation expectations
The impossibility of informationally efficient markets when forecasts are self-defeating
I. Prehistoric periods
A Note on Updating Forecasts When New Information Arrives between Two Periods
Updating great expectations: The effect of peer salary information on own-earnings forecasts
UPDATING...
When all is said and done: updating “Elections, special interests, and financial crisis”
Pseudo-Bayesian updating
Updating Ambiguous Beliefs
Updating stochastic choice
Updating inflation expectations
Contingent belief updating
Updating inflation expectations
The impossibility of informationally efficient markets when forecasts are self-defeating
I. Prehistoric periods
A Note on Updating Forecasts When New Information Arrives between Two Periods
Updating great expectations: The effect of peer salary information on own-earnings forecasts
UPDATING...
When all is said and done: updating “Elections, special interests, and financial crisis”
Pseudo-Bayesian updating
Updating Ambiguous Beliefs
Updating stochastic choice
Updating inflation expectations
Contingent belief updating
Updating inflation expectations
The impossibility of informationally efficient markets when forecasts are self-defeating