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Factor Model Forecasts of Exchange Rates

Engel, Charles; Mark, Nelson; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012

forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no … rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by … improve on the forecast of a "no change" benchmark in the late (1999-2007) but not early (1987-1998) parts of our sample. …

Persistent link: https://www.econbiz.de/10011103524

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

Austerity in 2009-2013

Alesina, Alberto; Favero, Carlo; Giavazzi, Francesco; … - National Bureau of Economic Research (NBER) - 2015

The conventional wisdom is (i) that fiscal austerity was the main culprit for the recessions experienced by many countries, especially in Europe, since 2010 and (ii) that this round of fiscal consolidation was much more costly than past ones. The contribution of this paper is a clarification of...

Persistent link: https://www.econbiz.de/10011119804

How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach

Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006

The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...

Persistent link: https://www.econbiz.de/10005774407

Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?

Chari, Varadarajan; Kehoe, Patrick J.; McGrattan, Ellen R. - National Bureau of Economic Research (NBER) - 2008

The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR...

Persistent link: https://www.econbiz.de/10005089012

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

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

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

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

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

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

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 … 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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