Showing 1 - 10 of 126
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
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
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/10005714295
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
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
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
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
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
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
Most of the future growth in energy use is forecast to come from the developing world. Understanding the likely pace … from the household analysis to aggregate energy forecast models using country-level panel data. Our results suggest that …
Persistent link: https://www.econbiz.de/10010951465