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DSGE Model-Based Forecasting of Non-modelled Variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009

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). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...

Persistent link: https://www.econbiz.de/10005718736

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

Gorodnichenko, Yuriy; Ng, Serena; Mikusheva, Anna - National Bureau of Economic Research (NBER) - 2011

This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...

Persistent link: https://www.econbiz.de/10009294897

Can Oil Prices Forecast Exchange Rates?

Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10011227945

Efficient Prediction of Excess Returns

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2008

price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

Persistent link: https://www.econbiz.de/10005720382

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

West, Kenneth D.; Clark, Todd - National Bureau of Economic Research (NBER) - 2006

Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that...

Persistent link: https://www.econbiz.de/10005832264

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Clark, Todd; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2005

We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change"...

Persistent link: https://www.econbiz.de/10005779026

Measuring Uncertainty about Long-Run Prediction

Watson, Mark W.; Mueller, Ulrich - National Bureau of Economic Research (NBER) - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10010796670

A New Method of Estimating Potential Real GDP Growth: Implications for the Labor Market and the Debt/GDP Ratio

Gordon, Robert J. - National Bureau of Economic Research (NBER) - 2014

Forecasts for the two or three years after mid-2014 have converged on growth rates of real GDP in the range of 3.0 to 3.5 percent, a major stepwise increase from realized growth of 2.1 percent between mid-2009 and mid-2014. However, these forecasts are based on the demand for goods and services....

Persistent link: https://www.econbiz.de/10010950750

Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model

Ludwig, Alexander; Winter, Joachim; Boersch-Supan, Axel - National Bureau of Economic Research (NBER) - 2005

Population aging and pension reform will have profound effects on international capital markets. First, demographic change alters the time path of aggregate savings within each country. Second this process may be amplified when a pension reform shifts old-age provision towards more pre-funding....

Persistent link: https://www.econbiz.de/10005084816

The "Out of Sample" Performance of Long-run Risk Models

Ferson, Wayne; Nallareddy, Suresh K.; Xie, Biqin - National Bureau of Economic Research (NBER) - 2012

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the classical, stationary version. Both the long-run and the...

Persistent link: https://www.econbiz.de/10009493262

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