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Forecasts in a Slightly Misspecified Finite Order VAR

Müller, Ulrich K. - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10012461943

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10012467213

Evidence on Structural Instability in Macroeconomic Time Series Relations

Stock, James H. - 1994

An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability. Formal tests for instability and out-of-sample forecasts...

Persistent link: https://www.econbiz.de/10012474068

Core Inflation and Trend Inflation

Stock, James H. - 2015

An important input to monetary policymaking is estimating the current level of inflation. This paper examines … empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to … construct indexes akin to core inflation, but with time-varying distributed lags of weights, where the sectoral weight depends …

Persistent link: https://www.econbiz.de/10012457385

Empirical Bayes Forecasts of One Time Series Using Many Predictors

Knox, Thomas - 2001

We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes...

Persistent link: https://www.econbiz.de/10012470584

A Probability Model of The Coincident Economic Indicators

Stock, James H. - 1988

The Index of Coincident Economic Indicators, currently compiled by the U.S. Department of Commerce, is designed to measure the state of overall economic activity. The index is constructed as a weighted average of four key macroeconomic time series, where the weights are obtained using rules that...

Persistent link: https://www.econbiz.de/10012476288

Diffusion Indexes

Stock, James H. - 1998

forecasts based on the estimated factors are efficient. In an application to forecasting U.S. inflation and industrial …

Persistent link: https://www.econbiz.de/10012472111

Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy

Onatski, Alexei - 2000

This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a...

Persistent link: https://www.econbiz.de/10012471286

Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988

Stock, James H. - 1990

This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing...

Persistent link: https://www.econbiz.de/10012475657