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Higgins, Patrick Curry - Federal Reserve Bank of Atlanta - 2014

Economic Indicators. The forecast error variance of GDP growth for each of the GDPNow model, Blue Chip, and the Federal Reserve … staff's Green Book is decomposed as the sum of the forecast error covariances for the contributions to growth of the …

Persistent link: https://www.econbiz.de/10010942502

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - Federal Reserve Bank of Atlanta - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10005721646

Forecasting using relative entropy

Robertson, John C.; Tallman, Ellis W.; Whiteman, Charles H. - Federal Reserve Bank of Atlanta - 2002

The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions … from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique …

Persistent link: https://www.econbiz.de/10005721661

Asset prices and informed traders' abilities: evidence from experimental asset markets

Ackert, Lucy F.; Church, Bryan K.; Zhang, Ping - Federal Reserve Bank of Atlanta - 2002

authors investigate alternative forecast-generating processes. In some markets the process produces an unbiased estimate of … the process generating the unbiased forecast. The authors find that, in general, period-end asset price reflects private … forecasts, regardless of the forecast-generating process. Subsequently, they investigate whether traders' abilities to use …

Persistent link: https://www.econbiz.de/10005721663

Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."

Negro, Marco Del - Federal Reserve Bank of Atlanta - 2003

Cogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables-inflation, unemployment, and the nominal interest rate-and two...

Persistent link: https://www.econbiz.de/10005721701

Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.

Cogley, Timothy; Sargent, Thomas J. - Federal Reserve Bank of Atlanta - 2003

For a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of...

Persistent link: https://www.econbiz.de/10005721709