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Markov Switching Rationality
(Private Enterprise Research Center, Texas A&M University, 2022-05-23)
The authors propose novel tests for the detection of Markov switching deviations from forecast rationality. Existing forecast rationality tests either focus on constant deviations from forecast rationality over the full ...
Evaluating Forecast Performance with State Dependence
(Private Enterprise Research Center, Texas A&M University, 2022-05-16)
In forecasting models, usually no single model emerges as the best overall, as forecasting performance is prone to instabilities because the economic mechanisms providing the data work better on one model during some periods ...
Can Electricity Demand Help Us Monitor the Economy?
(Private Enterprise Research Center, Texas A&M University, 2022-07-12)
The recent pandemic has emphasized the importance of high-frequency economic variables. Electricity consumption, particularly important as a production input, is one such variable. However, electricity consumption typically ...