Narrow search
Showing 1 - 10 of 290
Cover Image
Forecasting Industrial Production and the Early Detection of Turning Points
Bruno, Giancarlo; Lupi, Claudio - EconWPA - 2001
In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of...
Persistent link: https://www.econbiz.de/10005556310
Cover Image
Narrowing the US twin deficits: simulations with a world macroeconometric model
Bagnai, Alberto; Galli, Silvia; Pierucci, Eleonora; … - EconWPA - 2004
In this paper we extend the macroeconometric model developed in Bagnai (2004) by linking it to a submodel for the Japanese economy, and we utilize this extended model to investigate several hypotheses of reduction in the US twin deficits. The Japanese submodel is specified and estimated along...
Persistent link: https://www.econbiz.de/10005556489
Cover Image
APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …
Persistent link: https://www.econbiz.de/10005134650
Cover Image
Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10005062396
Cover Image
Assessing Forecast Performance in a VEC Model: An Empirical Examination
Bragoudakis, Zacharias - EconWPA - 2005
This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error … expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the …
Persistent link: https://www.econbiz.de/10005556281
Cover Image
What causes the forecasting failure of Markov-Switching models? A Monte Carlo study
Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005
This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and …
Persistent link: https://www.econbiz.de/10005556398
Cover Image
Nonlinearity, Nonstationarity and Spurious Forecasts
Marmer, Vadim - EconWPA - 2005
Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. My …
Persistent link: https://www.econbiz.de/10005408003
Cover Image
Is money informative? Evidence from a large model used for policy analysis
Altissimo, Filippo; Gaiotti, Eugenio; Locarno, Alberto - EconWPA - 2004
, taking as a benchmark the forecasting errors generated by the quarterly model used by the Bank of Italy in the 1990s. We … Kalman filter approach, in order to improve the forecasts. Then we look at the sample correlations among forecasting errors …
Persistent link: https://www.econbiz.de/10005412693
Cover Image
Long-Run Regressions: Theory and Application to US Asset Markets
Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004
The question of long-run predictability in the aggregate US stock market is still unsettled. This is due to the lack of a robust method to judge the statistical significance of long-run regressions under the maintained hypothesis. By developing a spectral theory of long-run regressions with both...
Persistent link: https://www.econbiz.de/10005413151
Cover Image
Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Rossi, Barbara - EconWPA - 2005
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10005119462