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Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - Deutsche Bundesbank - 2007

. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …

Persistent link: https://www.econbiz.de/10005083220

MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area

Kuzin, Vladimir N.; Marcellino, Massimiliano; … - Deutsche Bundesbank - 2009

paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …

Persistent link: https://www.econbiz.de/10005083259

MIDAS and bridge equations

Schumacher, Christian - Deutsche Bundesbank - 2014

multi-step nowcasting tool, whereas bridge equations are based on iterated forecasts; 2) MIDAS equations employ empirical … set for nowcasting includes the most recent indicator observations in both approaches. To discuss the differences between … models are compared in an empirical application to nowcasting GDP growth in the Euro area given a large set of business cycle …

Persistent link: https://www.econbiz.de/10011093850

Households' disagreement on inflation expectations and socioeconomic media exposure in Germany

Menz, Jan-Oliver; Poppitz, Philipp - Deutsche Bundesbank - 2013

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

Persistent link: https://www.econbiz.de/10010957123

How useful is the carry-over effect for short-term economic forecasting?

Tödter, Karl-Heinz - Deutsche Bundesbank - 2010

The carry-over effect is the advance contribution of the old year to growth in the new year. Among practitioners the informative content of the carry-over effect for short-term forecasting is undisputed and is used routinely in economic forecasting. In this paper, the carry-over effect is...

Persistent link: https://www.econbiz.de/10008727826

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - Deutsche Bundesbank - 2006

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10005083178

Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment

Wang, Mu-Chun - Deutsche Bundesbank - 2008

In this paper, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

Persistent link: https://www.econbiz.de/10005083198

Quantifying risk and uncertainty in macroeconomic forecasts

Knüppel, Malte; Tödter, Karl-Heinz - Deutsche Bundesbank - 2007

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...

Persistent link: https://www.econbiz.de/10005083201

Pooling versus model selection for nowcasting with many predictors: an application to German GDP

Kuzin, Vladimir N.; Marcellino, Massimiliano; … - Deutsche Bundesbank - 2009

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to di¤erent sampling frequencies and publication delays. Two model classes...

Persistent link: https://www.econbiz.de/10005083316

How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts

Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2008

Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not...

Persistent link: https://www.econbiz.de/10005059017