Blar i NHH Brage på forfatter "Li, Yushu"
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A likelihood ratio and Markov Chain based method to evaluate density forecasting
Li, Yushu; Andersson, Jonas (Discussion paper;12/14, Working paper, 2014-03)In this paper, we propose a likelihood ratio and Markov chain based method to evaluate density forecasting. This method can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. This ... -
A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting
Li, Yushu; Andersson, Lars Jonas (Journal article; Peer reviewed, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ... -
A simple wavelet-based test for serial correlation in panel data models
Li, Yushu; Andersson, Fredrik N.G. (Discussion paper;11/14, Working paper, 2014-03)Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. ... -
Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model
Li, Yushu; Andersson, Fredrik N.G. (Discussion paper;38/14, Working paper, 2014-12)Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central banks aim to meet the target over the long term but allow inflation to deviate from the target in the ... -
Future world market prices of milk and feed looking into the crystal ball
Hansen, Bjørn Gunnar; Li, Yushu (Discussion paper;17/15, Working paper, 2015-04-10)Both the world milk price and the world feed price have become more volatile during the last 7-8 years. The ability of dairy farmers to adapt quickly to these changing circumstances will be a key driver for future success, ... -
Wavelet improvement in turning point detection using a Hidden Markov Model
Li, Yushu; Reese, Simon (Discussion paper;10/14, Working paper, 2014-03)The Hidden Markov Model (HMM) has been widely used in regime classification and turning point detection for econometric series after the decisive paper by Hamilton (1989). The present paper will show that when using HMM ...