Showing 1 - 10 of 11
Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...
Persistent link: https://www.econbiz.de/10013235487
Persistent link: https://www.econbiz.de/10003774002
Persistent link: https://www.econbiz.de/10003976664
Persistent link: https://www.econbiz.de/10003668444
Persistent link: https://www.econbiz.de/10001334780
Persistent link: https://www.econbiz.de/10001362828
We develop novel multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors. The variance of the errors can be stable, driven by stochastic volatility (SV), or follow a...
Persistent link: https://www.econbiz.de/10013238045
Persistent link: https://www.econbiz.de/10012163554
Persistent link: https://www.econbiz.de/10013423679
Persistent link: https://www.econbiz.de/10013423713