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We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...
Persistent link: https://www.econbiz.de/10011604797
While fiscal forecasting and monitoring has its roots in the accountability of governments for the use of public funds … discusses the main issues and challenges in the field of fiscal forecasting from a practitioner’s perspective and places them in …
Persistent link: https://www.econbiz.de/10011604889
forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …
Persistent link: https://www.econbiz.de/10011604940
content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …
Persistent link: https://www.econbiz.de/10011604983
to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …
Persistent link: https://www.econbiz.de/10011605012
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10011605015
This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...
Persistent link: https://www.econbiz.de/10011605045
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10011605063
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10011605128
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …
Persistent link: https://www.econbiz.de/10011605231