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Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014
for output growth and inflation from 1992 to 2011. We find strong evidence of time variation in the pool's weights …
Persistent link: https://www.econbiz.de/10010950792
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Prior Selection for Vector Autoregressions
Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....
Persistent link: https://www.econbiz.de/10011272306
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Forecast Evaluation of Small Nested Model Sets
Hubrich, Kirstin; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2008
-statistic has best power. We illustrate our procedures by comparing forecasts of different models for U.S. inflation. …
Persistent link: https://www.econbiz.de/10005710819
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the …
Persistent link: https://www.econbiz.de/10005714295
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Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007
methods and to the Greenbook forecast. For inflation we find that univariate methods are dominated by the best atheoretical …
Persistent link: https://www.econbiz.de/10005828664
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the …
Persistent link: https://www.econbiz.de/10005779020
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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
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Understanding and Comparing Factor-Based Forecasts
Boivin, Jean; Ng, Serena - National Bureau of Economic Research (NBER) - 2005
Forecasting using `diffusion indices' has received a good deal of attention in recent years. The idea is to use the common factors estimated from a large panel of data to help forecast the series of interest. This paper assesses the extent to which the forecasts are influenced by (i) how the...
Persistent link: https://www.econbiz.de/10005085145
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Why Has U.S. Inflation Become Harder to Forecast?
Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 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/10005829027
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Phillips Curve Inflation Forecasts
Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2008
This paper surveys the literature since 1993 on pseudo out-of-sample evaluation of inflation forecasts in the United …
Persistent link: https://www.econbiz.de/10005778755