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expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. …
Persistent link: https://www.econbiz.de/10008921778
In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …
Persistent link: https://www.econbiz.de/10008854551
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10011083279
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …
Persistent link: https://www.econbiz.de/10008528528
latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10008468646