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Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa - 2013

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...

Persistent link: https://www.econbiz.de/10013085278

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10013055383

Forecasting Euro Area Real GDP : Optimal Pooling of Information

Hülsewig, Oliver - 2013

This paper proposes a new method of forecasting euro area quarterly real GDP that uses areawide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

Persistent link: https://www.econbiz.de/10012753479

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Sattarhoff, Cristina - 2018

-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from …

Persistent link: https://www.econbiz.de/10012913274

Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights

Luetkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Persistent link: https://www.econbiz.de/10013144208

Regional Economic Forecasting : State-of-the-Art Methodology and Future Challenges

Lehmann, Robert - 2015

Over the last decade, the topic of regional economic forecasting has become increasingly prevalent in academic literature. The most striking problem in this context is data availability at a regional level. However, considerable methodological improvements have been made to address this problem....

Persistent link: https://www.econbiz.de/10013030310

The Positive Border Effect of EU Integration

Brakman, Steven - 2011

Distance related variables typically vary in a cross-section dimension but less so in a time dimension across cities, regions, or countries. The enlargement of the EU or the introduction of the euro, however, can be looked upon as integration shocks that are informative of the consequences of...

Persistent link: https://www.econbiz.de/10013130414

Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields

Afonso, António - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...

Persistent link: https://www.econbiz.de/10013135912