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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011460775
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Forecasting large datasets with reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …
Persistent link: https://www.econbiz.de/10010284099
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …
Persistent link: https://www.econbiz.de/10010286274
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Industry-level versus firm-level forecasts of long-term earnings growth
Esplin, Adam - In: Finance research letters 47 (2022) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10013455592