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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 … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

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

Forecastability and Statistical Characteristics of Aggregate Oil and Gas Investments on the Norwegian Continental Shelf

Lorentzen, Sindre - 2016

We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian Continental Shelf (NCS). A unique and detailed dataset containing data from 109 different fields on the NCS between 1970 and 2015 was employed. A set of 1080 autoregressive distributed...

Persistent link: https://www.econbiz.de/10012979540

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

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

Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2014

Persistent link: https://www.econbiz.de/10011103393

Boosting and Regional Economic Forecasting : The Case of Germany

Lehmann, Robert; Wohlrabe, Klaus - 2021

This paper applies component-wise boosting to the topic of regional economic forecasting. Component-wise boosting is a pre-selection algorithm of indicators for forecasting. By using unique quarterly real gross domestic product data for two German states (the Free State of Saxony and...

Persistent link: https://www.econbiz.de/10013315480

Looking into the Black Box of Boosting : The Case of Germany

Lehmann, Robert - 2016

This paper looks into the 'fine print' of boosting for economic forecasting. By using German industrial production for the period from 1996 to 2014 and a data set consisting of 175 monthly indicators, we evaluate which indicators get selected by the boosting algorithm over time and four...

Persistent link: https://www.econbiz.de/10012999772

The Misspecification of Expectations in New Keynesian Models : A DSGE-VAR Approach

Cole, Stephen J. - 2016

This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...

Persistent link: https://www.econbiz.de/10012979607

The Macroeconomic Loss Function: A Critical Note

Mayer, Thomas - CESifo - 2002

The standard loss function counts both positive and negative deviations from the output and inflation targets as losses. But if the sample period is long enough, then output growth in excess of the target, and often also inflation rates that are below target, should be counted as gains instead...

Persistent link: https://www.econbiz.de/10005765842

Exchange Rate Forecasters' Performance : Evidence of Skill?

MacDonald, Ronald - 2013

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

Persistent link: https://www.econbiz.de/10013095998

Forecasting Exchange Rates : An Investor Perspective

Melvin, Michael - 2013

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

Persistent link: https://www.econbiz.de/10013081705

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