international econometric journal
in Russian language

no. 1

september 2006


A word to readers


Econometric literacy: time series prediction


Tsyplakov, Alexander. Introduction to prediction in classical time series models

This essay discusses basic notions of time series prediction and states traditional approaches to prediction in classical BoxJenkins models, vector autoregressions, and autoregressive models with conditional heteroskedasticity.

Cochrane, John. Prediction and impulse responses in linear systems

Prediction is interesting for a variety of reasons. It is one of the few rationalizations for time-series to be a subject of its own, divorced from economics. Atheoretical forecasts of time series are often useful. The pattern of forecasts is also, like the autocorrelation function, an interesting characterization of the behavior of a time series.

Söderlind, Paul. Prediction of stock returns

This essay describes the basics of the stock market analysis, gives a survey of simple methods of searching for predictive patterns in returns, as well as lists empirical evidence of such predictability.

Anatolyev, Stanislav. Testing for predictability

This essay contains a short survey of existing simple tests for predictability of various characteristics of stationary time series.

Itskhoki, Oleg. Model selection and paradoxes of prediction

In this essay we postulate a number of theoretical hypotheses allowing one to resolve in some degree the following two prediction paradoxes: (1) why simple linear models often have an advantage in predictive power over more complex nonlinear models that lead to a better in-sample fit; (2) why combinations of forecasts often increase the predictive power of individual forecasts. We also give a numerical example illustrating our theoretical statements.

McCracken, Michael. Pairwise tests of equal forecast accuracy

This essay reviews recent work regarding pairwise tests of equal forecast accuracy between nested and non-nested models. While some technical details are given, special emphasis is placed on the practical implementation of the tests.


Impressions from conferences


Zinde-Walsh, Victoria. UK Econometric Study Group annual meeting

This report contains impressions of a participant of the UK Econometric Study Group meeting held on July 1315, 2006 in Bristol, UK.




Siliverstovs, Boriss. Modelling demand for money in Latvia

This study develops an error correction model for money demand in Latvia. The core of the model is a single cointegrating vector containing information about the long-run equilibrium between the real money balances, gross domestic product, and long-term interest rate. The model exhibits coefficient stability and has proved to accurately predict the money balances during the last three years.

Arzhenovsky, Sergey. Socioeconomic determinants of smoking in Russia

We study factors impacting the initiation and termination of smoking as well as its heaviness on the basis of RLMS data. An asymmetric influence of cigarette prices is revealed, and an addictive character of tobacco consumption is confirmed. We find that it is possible to reduce smoking by popularization of a healthy lifestyle.

Belousov, Sergey. Volatility modelling with jumps: application to Russian and American stock markets

It is well known that stock returns exhibit conditional heteroskedasticity, and their distribution displays leptokurtosis. Moreover, modern financial markets are characterized by large discrete changes in asset returns. One of the most popular models describing this behavior is the GARCHJ(ump) model, where the arrival of jumps is governed by a Poisson distribution. In this paper we propose a new specification called GARCHTJI, where the jump intensity depends on the absolute lagged return and whether it exceeds some threshold. The comparative analysis demonstrates a higher effectiveness of the GARCHTJI model than of the GARCHARJI specification described in the literature.


 International econometric journal in Russian language Quantile, 20062013
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