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Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10009359490

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...

Persistent link: https://www.econbiz.de/10009275962

Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?

Gürkaynak, Refet S.; Kisacikoglu, Burçin; Rossi, Barbara - C.E.P.R. Discussion Papers - 2013

-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE … evolve over time. Third, we show that there is no support the common practice of using large-scale Bayesian VAR models as the … forecast benchmark when evaluating DSGE models. Indeed,low-dimensional unrestricted AR and VAR forecasts may forecast more …

Persistent link: https://www.econbiz.de/10011083411

Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters

Inoue, Atsushi; Jin, Lu; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

While forecasting is a common practice in academia, government and business alike, practitioners are often left wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we use the last 30 years of data or the last 10 years of...

Persistent link: https://www.econbiz.de/10011083425

Identifying the Sources of Model Misspecification

Inoue, Atsushi; Kuo, Chun-Hung; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

In this paper we propose empirical methods for detecting and identifying misspecifications in DSGE models. We introduce wedges in a DSGE model and identify potential misspecification via forecast error variance decomposition (FEVD) and marginal likelihood analyses. Our simulation results based...

Persistent link: https://www.econbiz.de/10011083456

Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

Pesavento, Elena; Rossi, Barbara - C.E.P.R. Discussion Papers - 2004

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been...

Persistent link: https://www.econbiz.de/10005791527