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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data
Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; Dijk, … - Tinbergen Instituut - 2013
/full">'Journal of Applied Econometrics'</A>, 2014, 29(7), 1164-1182.<P> Changing time series properties of US inflation and … inflation are incorporated and their relative importance evaluated. Survey data on expected inflation are introduced to … credible evidence is found on endogeneity and long run stability between inflation and marginal costs. Backward …
Persistent link: https://www.econbiz.de/10011255806
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Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series
Basturk, Nalan; Cakmakli, Cem; Ceyhan, Pinar; Dijk, … - Tinbergen Instituut - 2013
Changing time series properties of US inflation and economic activity are analyzed within a class of extended Phillips … models that describe changing patterns in low and high frequencies and backward as well as forward inflation expectation … frequencies are carefully modeled. Modeling inflation expectations using survey data and adding level shifts and stochastic …
Persistent link: https://www.econbiz.de/10011257340
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011255780
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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10011255843
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Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in the 'Journal of Econometrics', 2013, 177(2), 213-232.<P> We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several...</p>
Persistent link: https://www.econbiz.de/10011255873
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Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013
Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...
Persistent link: https://www.econbiz.de/10011256321
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Are Forecast Updates Progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Tinbergen Instituut - 2013
inflation rate and real GDP growth rate. Our empirical results suggest that the forecast updates for Taiwan are progressive, and …
Persistent link: https://www.econbiz.de/10011256344
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Combination Schemes for Turning Point Predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...
Persistent link: https://www.econbiz.de/10011256621
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Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2011
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...
Persistent link: https://www.econbiz.de/10011256724