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A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series

Stock, James H. - 1998

A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...

Persistent link: https://www.econbiz.de/10012472204

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

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all - or a subset - of the variables may be fractionally integrated and the predictive...

Persistent link: https://www.econbiz.de/10012496124

Real-Time Forecasting with a Mixed-Frequency VAR

Schorfheide, Frank - 2013

This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...

Persistent link: https://www.econbiz.de/10012458951

Four Centuries of Return Predictability

Golez, Benjamin - 2014

We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...

Persistent link: https://www.econbiz.de/10012457852

Inflation and Real Activity over the Business Cycle

Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023

We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …

Persistent link: https://www.econbiz.de/10014247995

Why Has U.S. Inflation Become Harder to Forecast?

Stock, James H. - 2006

Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate …

Persistent link: https://www.econbiz.de/10012466341

Regression Discontinuity in Time : Considerations for Empirical Applications

Hausman, Catherine - 2017

Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...

Persistent link: https://www.econbiz.de/10012455080

Impulse Response Functions for Self-Exciting Nonlinear Models

Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023

We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...

Persistent link: https://www.econbiz.de/10014372466

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...

Persistent link: https://www.econbiz.de/10012458363

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