Three essays on economic forecasting and theory examination

dc.contributor.advisor Barry Falk Yan, Dong
dc.contributor.department Economics 2018-08-24T19:04:27.000 2020-06-30T07:18:17Z 2020-06-30T07:18:17Z Thu Jan 01 00:00:00 UTC 2004 2004-01-01
dc.description.abstract <p>In the first chapter, Monte Carlo simulation and bootstrap methods are used to compare the actual and nominal coverage probabilities of prediction intervals constructed using the Prais-Winsten modified weighted symmetric least squares (PW-MWSLS) estimation method. The evidence suggests that the PW-MWSLS estimator, the best point predictor, for the linear trend model with first-order autoregressive errors also leads to prediction intervals with the most accurate coverage rates for the linear trend model with first-order autoregressive errors.;The second chapter employs an innovative methodology to construct inflation expectations by incorporating information in the commodity futures market. The empirical results from the vector dynamic system show that the constructed expected rate of inflation series provides the best in-sample and out-of-sample forecasts over the sample period under investigation.;Chapter three applies the constructed time series of inflation expectations in the second chapter to examine two broadly debated topics in the field of economics, the Fisher effect and the Phillips curve. The findings provide support for the existence of the short-run Fisher effect; and for the examination of the two main alternative specifications of the Phillips curve, the New Keynesian Phillips curve and the expectations-augmented Phillips curve, the empirical evidence is in favor of the former.</p>
dc.format.mimetype application/pdf
dc.identifier archive/
dc.identifier.articleid 2209
dc.identifier.contextkey 6091410
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath rtd/1210
dc.language.iso en
dc.source.bitstream archive/|||Fri Jan 14 19:13:06 UTC 2022
dc.subject.disciplines Economics
dc.subject.keywords Economics
dc.title Three essays on economic forecasting and theory examination
dc.type article
dc.type.genre dissertation
dspace.entity.type Publication
relation.isOrgUnitOfPublication 4c5aa914-a84a-4951-ab5f-3f60f4b65b3d dissertation Doctor of Philosophy
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