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This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …
Persistent link: https://www.econbiz.de/10009644007
This paper compares the forecasting performance of different models which have been proposed for forecasting in the … macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast … majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many …
Persistent link: https://www.econbiz.de/10009142658
This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …
Persistent link: https://www.econbiz.de/10008805568
This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …
Persistent link: https://www.econbiz.de/10008833199
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the …
Persistent link: https://www.econbiz.de/10011246294
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10010316078
-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to …
Persistent link: https://www.econbiz.de/10010285821