Francis Diebold University of Pennsylvania SBR-9520966 The proposal consists of two projects. The first project proposes the development of methods for estimating and evaluating forecasting models when the loss function is asymmetrical. Most estimation methods in current use are optimal for a quadratic loss function, but not for others. In particular, asymmetric loss functions will generally call for the use of biased estimators. The second project extends frequency domain methods to the estimation of parametric models. The P.I. proposes using bootstrap procedures to find confidence tunnels for estimated spectra.
