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Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

Persistent link: https://www.econbiz.de/10013465707

Numerical stability analysis of linear DSGE models : backward errors, forward errors and condition numbers

Meyer-Gohde, Alexander - 2023

This paper develops and implements a backward and forward error analysis of and condition numbers for the numerical stability of the solutions of linear dynamic stochastic general equilibrium (DSGE) models. Comparing seven different solution methods from the literature, I demonstrate an...

Persistent link: https://www.econbiz.de/10014429077

Solving and analyzing DSGE models in the frequency domain

Meyer-Gohde, Alexander - 2024

I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the generalized Schur decomposition, providing a numerical implementation of the underlying analytic function solution methods suitable for standard DSGE estimation and...

Persistent link: https://www.econbiz.de/10015051533

Short-term inflation projections : a Bayesian vector autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - In: International journal of forecasting 30 (2014) 3, pp. 635-644

Persistent link: https://www.econbiz.de/10010514782

An evaluation of business survey indices for short-term forecasting : balance method versus Carlson-Parkin method

Vermeulen, Philip - In: International journal of forecasting 30 (2014) 4, pp. 882-897

Persistent link: https://www.econbiz.de/10010517780

A semi-parametric approach for estimating critical fractiles under autocorrelated demand

Lee, Yun Shin - In: European journal of operational research : EJOR 234 (2014) 1, pp. 163-173

Persistent link: https://www.econbiz.de/10010247342

The stability of survival model parameter estimates for predicting the probability of default : empirical evidence over the credit crisis

Leow, Mindy; Crook, Jonathan N. - In: European journal of operational research : EJOR 249 (2016) 2, pp. 457-464

Persistent link: https://www.econbiz.de/10011436709

Easy, reliable method for mid-term demand forecasting based on the Bass model : a hybrid approach of NLS and OLS

Hong, Jungsik; Koo, Hoonyoung; Kim, Taegu - In: European journal of operational research : EJOR 248 (2016) 2, pp. 681-690

Persistent link: https://www.econbiz.de/10011409746

Realized volatility forecasting : Robustness to measurement errors

Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57

Persistent link: https://www.econbiz.de/10012692572

Boosting nonlinear predictability of macroeconomic time series

Kauppi, Heikki; Virtanen, Timo - In: International journal of forecasting 37 (2021) 1, pp. 151-170

Persistent link: https://www.econbiz.de/10012692684