Forecast combination

One for the econometricians and forecasters amongst my audience. Call me a nerd, but I was quite excited to come across this new IMF working paper, The Use of Encompassing Tests for Forecast Combinations, by Turgut Kisinbay:

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S. macroecoomic data set. The results are encouraging as the algorithm forecasts outperform benchmark model forecasts, in a mean square error (MSE) sense, in a majority of cases.

Comments

[theeconomicfractalist]

US Debt and Reciprocal Money Expansion

This holiday will see a 300 billion or so US dollar increase in the American (and global) economy - a good percentage of those billions as credit card debt. Whether it is deficit spending for the Iraqi oil fields from the empty US social security lock box, buying holiday Chinese Snow Baby eqivalents on credit cards against personal future earnings, or too good to be true deals on 500,000 dollar homes unsupportable by American wage and cost of living inflation realities- deficit spending against furure earnings and tax collections - will temporarily, very temporariy at this point - push the economy on a very overstretched long string and likewise temporarily expand the money supply. The summation money and credit growth is exactly reflected in the daily growth and decay quantum valuation fractals and the summation of the evolving quantum fractal patterns of competing debt, equity, and commodity investment entities. Even the currencies follow the precise fractal growth and decay patterns found in The Economic Fractalist' relative to each other's valuations. The recent fractally predicted change in the valuational direction of the dollar - on the new blog 'Lammert' - against other world currencies is both a currency fractal saturation phenomena and can be qualitatively explained by the fact that most of the world's debt is denominated in US dollars. The fractal saturation area of the Swiss Franc, Euro, and British pound is timed precisely when massive repayment is being called due by lenders and those indebted must sell other currency holdings (and gold) to gain dollars to repay that debt. The non US currency saturation area is also timed with the 11-14 week area of equity devolution - after which the dollar will have much more equity purchasing power. For the composite equities lowly New Century holds the secret of devolution. Observe the evolving New Century fractal pattern. On 30 November New Century closed down over 16 percent at 2 pennies even. (Both the 19 July 2007 and 11 October 2007 Wilshire highs were precisely predicted by saturation quantum fractal analysis.)

[Arthur Eckart]

theeconomicfract, two observations of your "saturation quantum fractal analysis" is not statistically significant. It makes no sense to believe Americans are irrational or stupid. People, including Americans, typically weigh the benefits and costs of assets and goods, and then make rational choices. U.S. monetary policy has been restrictive domestically throughout the 2000s, since export-led economies absorbed dollars, and implies U.S. output (equals income) will accelerate over the next few years.

You should input the value of U.S. assets, which are currently well over $100 trillion, and U.S. income of over $160 trillion over the next 10 years in you "growth and decay quantum valuation fractals and the summation of the evolving quantum fractal patterns." Also, you can input about 7% nominal growth, i.e. roughly 4% real growth and about 3% inflation, over the next few years (which will also boost American "animal spirits").

[Arthur Eckart]

Also, I may add, the output of your "precisely predicted by saturation quantum fractal analysis" model may be derailed by Keynes statement below:

"Even apart from the instability due to speculation, there is the instability due to the characteristic of human nature that a large proportion of our positive activities depend on spontaneous optimism rather than mathematical expectations, whether moral or hedonistic or economic. Most, probably, of our decisions to do something positive, the full consequences of which will be drawn out over many days to come, can only be taken as the result of animal spirits - a spontaneous urge to action rather than inaction, and not as the outcome of a weighted average of quantitative benefits multiplied by quantitative probabilities."

So, good luck with your model (you may want to at least add another variable, e.g. "optimism").

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