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Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...

Persistent link: https://www.econbiz.de/10005779020

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007

Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for … synchronized with the Fed's Greenbook forecast. This dataset consists of a large number of variables, as observed at the time of … each Greenbook forecast since 1979. Thus, we can compare real-time large dataset predictions to both simple univariate …

Persistent link: https://www.econbiz.de/10005828664

Forecast Evaluation of Small Nested Model Sets

Hubrich, Kirstin; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2008

We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...

Persistent link: https://www.econbiz.de/10005710819

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Persistent link: https://www.econbiz.de/10005714295

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 …

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

Regime Switches in Interest Rates

Ang, Andrew; Bekaert, Geert - National Bureau of Economic Research (NBER) - 1998

model parameters. Regime-switching models incorporating international short rate and term spread information forecast better … correspond reasonably well with business cycles, at least in the US. This may explain why regime-switching models forecast …

Persistent link: https://www.econbiz.de/10005723115

Global Forces and Monetary Policy Effectiveness

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2008

In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the 1984-2005 period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and...

Persistent link: https://www.econbiz.de/10005050455

Real-Time Forecasting with a Mixed-Frequency VAR

Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research (NBER) - 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/10010721189

Prior Selection for Vector Autoregressions

Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012

subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10011272306

Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand

Kilian, Lutz; Stock, James H.; Coglianese, John; Davis, … - National Bureau of Economic Research (NBER) - 2015

Traditional least squares estimates of the responsiveness of gasoline consumption to changes in gasoline prices are biased toward zero, given the endogeneity of gasoline prices. A seemingly natural solution to this problem is to instrument for gasoline prices using gasoline taxes, but this...

Persistent link: https://www.econbiz.de/10011189084