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Harvey, Andrew C.; Kattuman, Paul A.; Thamotheram, Craig - In: National Institute economic review : journal of the … 256 (2021), pp. 110-126

Persistent link: https://www.econbiz.de/10012593683

Real-time forecasting with a mixed-frequency VAR

Schorfheide, Frank; Song, Dongho - 2013

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Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints

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Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - In: Journal of econometrics 210 (2019) 1, pp. 26-44

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Improving GDP measurement : a measurement-error perspective

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Tempered particle filtering

Herbst, Edward P.; Schorfheide, Frank - 2016

The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While...

Persistent link: https://www.econbiz.de/10011578495

Chapter 2. DSGE Model-Based Forecasting

Negro, Marco Del; Schorfheide, Frank - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 57-140). 2013

Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements …

Persistent link: https://www.econbiz.de/10014025547

Ökonometrische Analyse von Zeitreihen

Harvey, Andrew C. - 2018 - Aus dem Engl. “ The econometric analysis of time series”. 2. Aufl. Reprint 2018

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Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020

Persistent link: https://www.econbiz.de/10012314239