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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

Forecasting world output: the rising importance of emerging economies

Borin, Alessandro; Cristadoro, Riccardo; Golinelli, Roberto - Banca d'Italia - 2012

and forecasting the global outlook. Our main results are that (i) the rise of the emerging countries has sharply altered … the correlation of growth rates among the main economic areas; (ii) this is clearly detectable in forecasting equations as …

Persistent link: https://www.econbiz.de/10009654297

Tracking world trade and GDP in real time

Golinelli, Roberto; Parigi, Giuseppe - Banca d'Italia - 2013

for should be taken as a lower bound, results show a better WBM forecasting ability than the benchmark case and confirm …. Finally, we show that the (unrealistic) use of revised data leads to a systematic overstatement of model forecasting …

Persistent link: https://www.econbiz.de/10011099662

The predictive power of Google searches in forecasting unemployment

D'Amuri, Francesco; Marcucci, Juri - Banca d'Italia - 2012

predict the US monthly unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that …

Persistent link: https://www.econbiz.de/10011099697

Real-time GDP forecasting in the euro area

Baffigi, Alberto; Golinelli, Roberto; Parigi, Giuseppe - Banca d'Italia - 2002

for the real-time forecasting of euro area GDP and assesses their performance. We estimate univariate … estimated and tested for the period 1980-1999. Data from 1999 to 2001 are used to compare the forecasting ability, gauged by …

Persistent link: https://www.econbiz.de/10005113637

Forecasting the industrial production index for the euro area through forecasts for the main countries

Zizza, Roberta - Banca d'Italia - 2002

The aim of the present work is to obtain short-term predictions of the monthly volume of the industrial production of the euro area. Preliminary information on the behaviour of this variable is needed, since the index is released with a lag of about two months. A model based on the US industrial...

Persistent link: https://www.econbiz.de/10005113663

Investment forecasting with business survey data

Leandro Dï¿½Aurizio; Iezzi, Stefano - Banca d'Italia - 2011

Business investment is a very important variable for short- and medium-term economic analysis, but it is volatile and difficult to predict. Qualitative business survey data are widely used to provide indicators of economic activity ahead of the publication of official data. Traditional...

Persistent link: https://www.econbiz.de/10009386392

FORECASTING OUTPUT GROWTH AND INFLATION IN THE EURO AREA: ARE FINANCIAL SPREADS USEFUL?

Nobili, Andrea - Banca d'Italia - 2005

reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A … quarterly Bayesian vector autoregression model is used to assess the marginal forecasting power of financial spreads for real …

Persistent link: https://www.econbiz.de/10005111558

Is money informative? Evidence form a large model used for policy analysis

Altissimo, Filippo; Gaiotti, Eugenio; Locarno, Alberto - Banca d'Italia - 2002

on the state of the Italian economy in the 1990s, taking as a benchmark the forecasting errors generated by the quarterly … forecasting errors in monetary and real variables, thereby taking into account links that may not be accounted for by the modelï …

Persistent link: https://www.econbiz.de/10005113577

FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure

Frale, Cecilia; Monteforte, Libero - Banca d'Italia - 2011

empirical application for the Italian quarterly GDP the short-term forecasting performance is evaluated against other mixed …

Persistent link: https://www.econbiz.de/10008835085