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The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling Lawrence R. Klein Suleyman Ozmucur.

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Presentation on theme: "The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling Lawrence R. Klein Suleyman Ozmucur."— Presentation transcript:

1 The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling Lawrence R. Klein Suleyman Ozmucur

2 Table 1. Absolute values of forecasts of alternative models Absolute Errors (1997: :4) EXPEND._1INCOME_1PRINCOM_1AVERAGE_1NAIVE_1 Mean Median Maximum Minimum Std. Dev Skewness Kurtosis

3 EXPEND._2INCOME_2PRINCOM_2AVERAGE_2NAIVE_2 Mean Median Maximum Minimum Std. Dev Skewness Kurtosis

4 EXPEND._3INCOME_3PRINCOM_3AVERAGE_3NAIVE_3 Mean Median Maximum Minimum Std. Dev Skewness Kurtosis

5 Table 2. Correlation Coefficients Between real GDP growth rates and Model Estimates (numbers following the model name refer to number of months before the advanced estimate) Correlation Coefficients ADVANCEPRELIMINARY FINAL EXPENDITURE_ INCOME_ PRINCOM_ AVERAGE_ EXPENDITURE_ INCOME_ PRINCOM_ AVERAGE_ EXPENDITURE_ INCOME_ PRINCOM_ AVERAGE_

6 Sample: 1997:1 2003:4 IF ADVANCE { "@context": "http://schema.org", "@type": "ImageObject", "contentUrl": "http://images.slideplayer.com/4352195/14/slides/slide_5.jpg", "name": "Sample: 1997:1 2003:4 IF ADVANCE

7 Sample: 1997:1 2003:4 IF ADVANCE>ADVANCE(-1) EXPEND._1INCOME_1PRINCOM_1AVERAGE_1 Mean Median Maximum Minimum Std. Dev Skewness Kurtosis Observations 14

8 actualsurvey cornerCQMNaive MAE748092

9 actualsurvey cornerCQMNaive MAE

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