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К вопросу о прогнозировании экономики с помощью моделей авторегрессии
С. 26–30.
Svetunkov S.
The influence of the length of the sample series of economic dynamics to the correct diagnosis of the structure of autoregressive models. It is proved that the length of the sample uvelichina further than the defined period of economic inertial object correlogram distort the real situation, and autoregression models are wrong structure. All scientific hypotheses tested on a representative sample of daily data in world oil prices over the past five years.
In book
* К вопросу о прогнозировании экономики с помощью моделей авторегрессии. , Бердянск: Видавець Ткачук, 2015.
Finagin M., Мирошниченко Д. В., Прикладная эконометрика 2026 Т. 82 С. 105–123
We construct a monthly indicator and produce a nowcast of nominal GDP in Russia using operational
data. The data used are bank statements and the ruble price of Russian oil. This approach
allows for the nowcast of nominal GDP ahead of official statistics by 3–5 months. Nominal GDP
data is published by Rosstat only on a quarterly basis ...
Added: August 28, 2026
Maria Lashina, Grishunin S., , in: Procedia Computer Science: Tenth International Conference on Information Technology and Quantitative Management (ITQM 2023)Vol. 221.: ScienceDirect, 2023. P. 442–449.
The study evaluates the effectiveness of combining different forecasting models to predict Russia's GDP growth rates for the upcoming quarter. The ensemble model utilized in this study consists of a dynamic factor model (DFM) and a neural network with long- and short-term memory (LSTM). The research compared the root-mean-squared errors (RMSE) of the ensemble model ...
Added: June 18, 2024
Avdeeva D., Akindinova N., Kondrashov N. V. et al., М.: Издательский дом НИУ ВШЭ, 2024.
Изменения, произошедшие в последние годы в глобальной и российской экономике, побуждают провести общую ревизию традиционных подходов к макроэкономическому прогнозированию; анализ того, какие инструменты остаются работоспособными, а какие стоит отложить «до лучших времен», когда в экономике вновь установится относительное равновесие. Этой проблематике посвящена глава 1, где дается обзор наиболее распространенных методов макропрогнозирования, акцентируется разница между «академическими» и «прикладными» ...
Added: June 6, 2024
Smirnov S. V., Kondrashov N. V., Качур А. С., Вопросы экономики 2024 № 2 С. 23–48
The specificity of macroeconomic forecasts is determined not so much by the list of predicted indicators or by mathematical tools used, but by the unavoidable human factor, which often generates great difference between forecasts made by various professionals. In Russian-language literature, this psychological aspect of macroeconomic forecasting has not received any attention; our work is designed to fill this gap. ...
Added: February 8, 2024
Heliyon 2023 Vol. 9 Article e12989
This study empirically analyzes time series momentum (TSM) in the European equity market
between 2000 & 2020. The study produces additional evidence on TSM where a significant and
persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal
the present study implements a pooled autoregressive model to test the predictability power of
European equity indices ...
Added: September 6, 2023
Khusainov F. I., Ожерельева М. В., Экономика железных дорог 2019 № 8 С. 70–84
The article analyzes the main results of the work of railway transport in the field of transportation of goods of the fuel and energy complex (FEC) in 2018. and also considered the dynamics of traffic in 2000-2018. The most important factors influencing the dynamics of railway transportation of coal and oil cargoes are shown. The ...
Added: August 20, 2019
Savchenko A., Savchenko V., Radioelectronics and Communications Systems 2019 Vol. 62 No. 5 P. 223–231
It is researched a wide class of parametric estimations of power spectral density based on principle of entropy maximum and autoregression observation model. At that there is distinguished the key parameter which is used model order. It is considered a problem of a priori uncertainty when true value of order is a priori unknown. It ...
Added: August 16, 2019
Агеев А. И., Доценко Е. А., Karpova N. S. et al., М.: РУБИН, 2017.
World price of oil is influenced by a complex of traditional and new factors. The book is devoted to the study of these factors, mainly related to the category of manageable ones, and to the search for ways of effective development of the fuel and energy complex of the Russian Federation. ...
Added: June 19, 2018
Kozhevina O., Прокопчина С. В., Городиский И. М., Экономика и управление: проблемы, решения 2015 Т. 5 № 12 С. 26–37
В статье рассматриваются вопросы применения информационно-аналитической системы "Инфоаналитик", созданной на основе байесовских интеллектуальных технологий, для оценки состояния экономики страны, составления прогнозов социально-экономического развития РФ и определения важнейших направлений государственной политики в части развития отдельных отраслей. ...
Added: June 8, 2018
Podkolzina I., Вопросы экономики 2009 № 2 С. 90–104
В статье рассматриваются основные тенденции, сложившиеся на мировом рынке нефти в течение нескольких последних лет, и анализируются факторы, обуславливающие динамику цен на энергоносители. Выяснение спекулятивного характера взрывного роста стоимости нефти в 2007 г. – первой половине 2008 г. приводит к выводу о том, что последовавшее затем стремительное падение цен не является временной передышкой в ходе ...
Added: October 30, 2017
М.: Горная книга, 2017.
Разработаны модель управления предприятием и последующая реализация программного обеспечения, позволяющего смоделировать варианты развития предприятия в долгосрочном периоде, комплекс программ на MATLAB, реализующих метод авторегрессии, спектрального и корреляционного анализа, программа на языке программирования Python для оценки платежеспособности заемщиков банка на основе модели с использованием нейронных сетей, исследованы характеристики стохастического временного ряда, предложены программы реализации алгоритмов масштабирования ...
Added: August 21, 2017
Zukhba D., Горизонты экономики 2017 № 2 (35) С. 13–23
Today, macroeconomic processes are determined by factors of political turbulence, rapid development of innovations and other economic shocks. In this regard, the problem of choosing methods and models that adequately meet modern needs and allows achieving reliable results of macroeconomic forecasting becomes more relevant. The article proves the relevance of DSGE modeling methodology to existing ...
Added: April 20, 2017
Demeshev B., Malakhovskaya O. A., Экономический журнал Высшей школы экономики 2016 Т. 20 № 4 С. 691–710
This paper compares the forecasting performance of random walk, frequentist vector autoregression (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models on quarterly Russian data sample running from 1995 to 2014. Maximal number of variables included in the model is equal to 14 that requires an endogenous search of optimal shrinkage hyperparameter. The search ...
Added: December 9, 2016
Esaulov D., Moscow University Mathematics Bulletin 2012 Vol. 67 No. 2 P. 79–81
The paper deals with properties of GM-estimators and GM-tests for linear hypotheses in AR(p)-processes when observations contain outliers. In particular, we obtain the marginal distribution of test statistics, which allows us to prove the robustness of these GM-tests. The scheme of data contamination by additive single outliers with the intensity O(n−1/2), where n is the data level, is ...
Added: October 19, 2016
Esaulov D., Mathematical Methods of Statistics 2013 Vol. 22 No. 4 P. 333–349
In the paper a new nonparametric generalized M-test for hypotheses about the order of linear autoregression AR(p) is constructed. We also establish robustness of this test in the model of data contamination by independent additive outliers with intensity O(n−1/2). Robustness is formulated in terms of limiting power equicontinuity. Test statistics are constructed with the help of ...
Added: October 19, 2016
Boldin M. V., Esaulov D., Moscow University Mathematics Bulletin 2014 Vol. 69 No. 1 P. 29–32
The local qualitative robustness of GM-tests against outliers in the autoregression model is studied in the paper. A local scheme of data contamination by independent outliers with the intensity O(n−1/2) is considered. The qualitative robustness in terms of power equicontinuity is obtained. The GM-tests asymptotically optimal in the maximin sense are constructed. ...
Added: October 17, 2016
Болдин М. В., Esaulov D., Вестник Московского университета. Серия 1: Математика. Механика 2014 № 1 С. 46–50
The local qualitative robustness of GM-tests against outliers in the autoregression model is studied in the paper. A local scheme of data contamination by independent outliers with the intensity O(n -1/2) is considered. The qualitative robustness in terms of power equicontinuity is obtained. The GM-tests asymptotically optimal in the maximin sense are constructed. ...
Added: October 17, 2016