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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2002
It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this Paper we question this conventional...
Persistent link: https://www.econbiz.de/10005124323
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Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
Lettau, Martin; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2005
Evidence of stock return predictability by financial ratios is still controversial as documented by inconsistent results for in-sample and out-of-sample regressions as well as substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the...
Persistent link: https://www.econbiz.de/10005661523
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Testing macroeconomic models by indirect inference on unfiltered data
Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012
We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
Persistent link: https://www.econbiz.de/10011083255
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Residual-based Rank Specification Tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013
AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual … the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise … show that our asymptotic approximations work well for a large number of AR-GARCH models and parameter values. We also show …
Persistent link: https://www.econbiz.de/10011084012
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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
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
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Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth
Camacho, Maximo; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2009
We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data...
Persistent link: https://www.econbiz.de/10005034764
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Extracting nonlinear signals from several economic indicators
Camacho, Maximo; Pérez-Quirós, Gabriel; Poncela, Pilar - C.E.P.R. Discussion Papers - 2012
We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non- linear multivariate specification (one-step...
Persistent link: https://www.econbiz.de/10011083476
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Markov-switching dynamic factor models in real time
Camacho, Maximo; Pérez-Quirós, Gabriel; Poncela, Pilar - C.E.P.R. Discussion Papers - 2012
We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the...
Persistent link: https://www.econbiz.de/10011083562
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Finite sample performance of small versus large scale dynamic factor models
Alvarez, Rocio; Camacho, Maximo; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2012
We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...
Persistent link: https://www.econbiz.de/10011083917
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Green Shoots and Double Dips in the Euro Area. A Real Time Measure
Camacho, Maximo; Pérez-Quirós, Gabriel; Poncela, Pilar - C.E.P.R. Discussion Papers - 2012
To perform real-time business cycle inferences and forecasts of GDP growth rates in the Euro area, we use an extension of the Markov-switching dynamic factor models that accounts for the specificities of the day to day monitoring of economic developments such as ragged edges, mixed frequencies...
Persistent link: https://www.econbiz.de/10011084356