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Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - Federal Reserve Bank of Philadelphia - 2013

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

Persistent link: https://www.econbiz.de/10010732487

Fiscal policy: ex ante and ex post

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

Does data vintage matter for forecasting?

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

This paper illustrates the use of a real-time data set for forecasting. The data set consists of vintages, or snapshots …

Persistent link: https://www.econbiz.de/10005387468

Measuring predictability: theory and macroeconomic applications

Diebold, Francis X.; Kilian, Lutz - Federal Reserve Bank of Philadelphia - 1997

The authors propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or...

Persistent link: https://www.econbiz.de/10005387481

Reverse Kalman filtering U.S. inflation with sticky professional forecasts

Nason, James M.; Smith, Gregor W. - Federal Reserve Bank of Philadelphia - 2013

We provide a new way to filter US inflation into trend and cycle components, based on extracting long-run forecasts from the Survey of Professional Forecasters. We operate the Kalman filter in reverse, beginning with observed forecasts, then estimating parameters, and then extracting the...

Persistent link: https://www.econbiz.de/10010692396

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