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Procrustean Econometrics: Stretching and Squeezing Data
Hendry, David F; Mizon, Grayham Ernest - C.E.P.R. Discussion Papers - 1985
Recent concern about the inadequacies of econometric models has led not only to the search for causes, but also to the proposal of constructive remedies for these difficulties. In this paper we analyse the links between econometric modelling methodologies and the performance of econometric...
Persistent link: https://www.econbiz.de/10005497761
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What Will Take the Con Out of Econometrics?
McAleer, Michael; Pagan, Adrian - C.E.P.R. Discussion Papers - 1985
The paper begins with the question of whether Leamer's Extreme Bounds Analysis (EBA) really does "Take the Con Out of Econometrics" By analytically demonstrating that the extreme bounds are simply functions of the F-statistic for the deletion of variables from a regression, we conclude that the...
Persistent link: https://www.econbiz.de/10005661895
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Macroeconomic Policy Design Using Large Rational Expectations Models: Methodology and Applications
Christodoulakis, Nikos; Gaines, Jessica; Levine, Paul L - C.E.P.R. Discussion Papers - 1988
This paper proposes and applies to the London Business School (LBS) model a general methodology for the design of macroeconomic policy using large rational expectations models. Design proceeds through the following four stages: first, a small, linear representation of the original large,...
Persistent link: https://www.econbiz.de/10005666971
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Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model
Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …
Persistent link: https://www.econbiz.de/10005504253
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Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices
Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10005504428
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Data Revisions Are Not Well-Behaved
Aruoba, Boragan - C.E.P.R. Discussion Papers - 2005
We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...
Persistent link: https://www.econbiz.de/10005504505
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Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …
Persistent link: https://www.econbiz.de/10005497801
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Monetary Policy in Real Time
Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2005
, produces a degree of forecasting accuracy of the federal funds rate similar to that of the markets, and, for output and …
Persistent link: https://www.econbiz.de/10005497952
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Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - C.E.P.R. Discussion Papers - 2009
forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major …
Persistent link: https://www.econbiz.de/10004972168
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Common Drifting Volatility in Large Bayesian VARs
Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10011083279