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Illusive Persistence in German Unemployment
Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992
persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the … able to generate fragile equilibria. For instance, in this literature the natural unemployment rate is allowed to shift … over time depending on past unemployment. Actually, many European unemployment series seem to exhibit a unit root or …
Persistent link: https://www.econbiz.de/10005666959
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A Tale of Two Neighbour Economies: Labour Market Dynamics in Spain and Portugal
Castillo, Sonsoles; Dolado, Juan J.; Jimeno, Juan F - C.E.P.R. Discussion Papers - 1998
Spain and Portugal are two neighbour economies which share many characteristics. Spanish unemployment is more than … double Portuguese unemployment, however. In this chapter we resort to Structural Vector Autoregression (SVAR) techniques to …, their effects on unemployment were much more long-lasting in Spain than in Portugal. …
Persistent link: https://www.econbiz.de/10005661486
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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
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Modelling Scale-Consistent VaR with the Truncated Lévy Flight
Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2001
Returns in financial assets show consistent excess kurtosis, indicating the presence of large fluctuations not predicted by Gaussian models. Mandelbrot (1963) first proposed the idea that price changes distributed according to a Lévy stable law. The unique feature of Lévy-stable distributions...
Persistent link: https://www.econbiz.de/10005792337
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Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
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New methods for forecasting inflation, applied to the US.
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared...
Persistent link: https://www.econbiz.de/10008468684
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...
Persistent link: https://www.econbiz.de/10005123557
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Some Issues in Modeling and Forecasting Inflation in South Africa
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2009
Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The world is on the cusp of a dramatic turning point in...
Persistent link: https://www.econbiz.de/10005123809
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Bagging Time Series Models
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005124019
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Measuring Predictability: Theory And Macroeconomic Applications
Diebold, Francis X; Kilian, Lutz - C.E.P.R. Discussion Papers - 2000
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or...
Persistent link: https://www.econbiz.de/10005124232