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Temporal aggregation of univariate and multivariate time series models: A survey
Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
Persistent link: https://www.econbiz.de/10005609326
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - Banca d'Italia - 2013
In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This...
Persistent link: https://www.econbiz.de/10011099722
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(Fractional) Beta Convergence.
Michelacci, C.; Zaffaroni, P. - Banca d'Italia - 2000
Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...
Persistent link: https://www.econbiz.de/10005780678
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(Fractional) Beta Convergence
Michelacci, Claudio; Zaffaroni, Paolo - Banca d'Italia - 2000
Unit roots in output, an exponential 2 per cent rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate...
Persistent link: https://www.econbiz.de/10005770774
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The Seasonal Adjustment of the harmonised Index of Consumer Prices for the Euro Area: a Comparison of Direct and Indirect Methods.
Cristadoro, Riccardo; Sabbatini, Roberto - Banca d'Italia - 2000
Knowledge of the characteristics of the short-term evolution of consumer prices for each country and for their average is important for better monitoring and forecasting of inflation in the euro area. In this paper we seek to verify to what extent the short-term variability of the HICPs can be...
Persistent link: https://www.econbiz.de/10005113568
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Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
Sbrana, Giacomo; Silvestrini, Andrea - Banca d'Italia - 2013
and BU forecasts is led by the parametric structure of the underlying data generation process, regardless of possible …
Persistent link: https://www.econbiz.de/10011099652
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Contemporaneous aggregation of GARCH processes
Zaffaroni, Paolo - Banca d'Italia - 2002
In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross-sectional size diverges to infinity. A complete statistical characterization of the limit aggregate is provided under general assumptions on the form and degree of heterogeneity of the...
Persistent link: https://www.econbiz.de/10005113626
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A non-parametric model-based approach to uncertainty and risk analysis of macroeconomic forecast
Miani, Claudia; Siviero, Stefano - Banca d'Italia - 2010
It has increasingly become standard practice to supplement point macroeconomic forecasts with an appraisal of the … literature to compute the probability distribution of macroeconomic forecasts; all of them rely on combining the predictive … density of model-based forecasts with subjective judgment about the direction and intensity of prevailing risks. We propose a …
Persistent link: https://www.econbiz.de/10008509919
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Forecasting world output: the rising importance of emerging economies
Borin, Alessandro; Cristadoro, Riccardo; Golinelli, Roberto - Banca d'Italia - 2012
would have provided even better forecasts during the recent crisis. …
Persistent link: https://www.econbiz.de/10009654297
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Selecting predictors by using Bayesian model averaging in bridge models
Bencivelli, Lorenzo; Marcellino, Massimiliano; Moretti, … - Banca d'Italia - 2012
This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA...
Persistent link: https://www.econbiz.de/10011099660