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Sökning: WFRF:(Mullineux Andrew W.)

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1.
  • Binner, Jane M., et al. (författare)
  • A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia
  • 2005
  • Ingår i: Applied Economics. - : Informa UK Limited. - 1466-4283 .- 0003-6846. ; 37:6, s. 665-680
  • Tidskriftsartikel (refereegranskat)abstract
    • Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate VAR models are used as linear forecasting models whereas neural networks (NN) are used as non-linear forecasting models. It is endeavoured to keep the level of subjectivity in the NN building process to a minimum in an attempt to exploit the full potentials of the NN. It is also investigated whether the historically poor performance of the theoretically superior measure of the monetary services flow, Divisia, relative to the traditional Simple Sum measure could be attributed to a certain extent to the evaluation of these indices within a linear framework. Results obtained suggest that non-linear models provide better within-sample and out-of-sample forecasts and linear models are simply a subset of them. The Divisia index also outperforms the Simple Sum index when evaluated in a non-linear framework.
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2.
  • Binner, Jane M., et al. (författare)
  • Admissible monetary aggregates for the euro area
  • 2009
  • Ingår i: Journal of International Money and Finance. - : Elsevier BV. - 0261-5606. ; 28:1, s. 99-114
  • Tidskriftsartikel (refereegranskat)abstract
    • We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved.
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  • Resultat 1-2 av 2
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tidskriftsartikel (2)
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refereegranskat (2)
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Binner, Jane M. (2)
Elger, Thomas (2)
Bissoondeeal, Rakesh ... (2)
Mullineux, Andrew W. (2)
Gazely, Alicia M. (1)
Jones, Barry E. (1)
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Lunds universitet (2)
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Engelska (2)
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