Similar Search Results

Croushore, Dean; van Norden, Simon - Federal Reserve Bank of Philadelphia - 2014

The surge in fiscal deficits since 2008 has put a renewed focus on the authors’ understanding of fiscal policy. The interaction of fiscal and monetary policy during this period has also been the subject of much discussion and analysis. This paper gives new insight into past fiscal policy and...

Persistent link: https://www.econbiz.de/10010930299

Out-of-sample forecast tests robust to the choice of window size

Rossi, Barbara; Inoue, Atsushi - Federal Reserve Bank of Philadelphia - 2011

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

Persistent link: https://www.econbiz.de/10009216229

Forecast bias in two dimensions

Croushore, Dean - Federal Reserve Bank of Philadelphia - 2012

Economists have tried to uncover stylized facts about people’s expectations, testing whether such expectations are rational. Tests in the early 1980s suggested that expectations were biased, and some economists took irrational expectations as a stylized fact. But, over time, the results of...

Persistent link: https://www.econbiz.de/10010551328

A Bayesian vector error corrections model of the U.S. economy

Stark, Tom - Federal Reserve Bank of Philadelphia - 1998

(VEC) literature, the author specifies the baseline model as a Bayesian VEC. The author documents the model's forecasting … promise as a workhorse forecasting tool. …

Persistent link: https://www.econbiz.de/10005717293

A real-time data set for macroeconomists

Croushore, Dean; Stark, Tom - Federal Reserve Bank of Philadelphia - 1999

robustness of published econometric results, for analyzing policy, and for forecasting. The data set consists of vintages, or …

Persistent link: https://www.econbiz.de/10005717356

A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area

Crone, Theodore M.; McLaughlin, Michael P. - Federal Reserve Bank of Philadelphia - 1999

Vector-autoregression (VAR) forecast models have been developed for many state economies, including the three states in the Third Federal Reserve District--Pennsylvania, New Jersey, and Delaware. This paper extends that work by developing a Bayesian VAR forecast model for the Philadelphia...

Persistent link: https://www.econbiz.de/10005717369

Optimal prediction under asymmetric loss

Christoffersen, Peter F.; Diebold, Francis X. - Federal Reserve Bank of Philadelphia - 1997

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute it...

Persistent link: https://www.econbiz.de/10005717386

Regime-switching in expectations over the business cycle

Eudey, Gwen; Perli, Roberto - Federal Reserve Bank of Philadelphia - 1999

In this paper the authors argue that a plausible reason why output and other major U.S. macroeconomic time series seem to follow a Markov switching process might be strictly related to expectations. The authors show that a time series of expectations of future output from the Survey of...

Persistent link: https://www.econbiz.de/10005717418

DSGE model-based forecasting of non-modelled variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - Federal Reserve Bank of Philadelphia - 2008

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). The authors use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core...

Persistent link: https://www.econbiz.de/10005717419

Evaluating real-time VAR forecasts with an informative democratic prior

Wright, Jonathan H. - Federal Reserve Bank of Philadelphia - 2010

This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to …

Persistent link: https://www.econbiz.de/10008504609