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Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174
We examine forecast accuracy and efficiency of the Social Security Administration's projections for cost rate, trust …
Persistent link: https://www.econbiz.de/10012668902
avenue to measure and forecast regional economic activity. …
Persistent link: https://www.econbiz.de/10013362425
A common approach for estimating the macroeconomic effects of oil supply news employs SVAR-IV models identified using changes in oil futures prices around OPEC quota announcements as an instrument. However, we show that the reduced-form oil price innovations, structural shocks, and the...
Persistent link: https://www.econbiz.de/10015145023
quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for … short horizons, and tend to do better for longer forecast horizons. …
Persistent link: https://www.econbiz.de/10010438196
This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...
Persistent link: https://www.econbiz.de/10003833321
Persistent link: https://www.econbiz.de/10003662971
This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative … across forecast horizons. To address this instability, we propose a forecast combination for predicting quarterly real Brent … generates forecasts whose performance is robust over time. The improvements in forecast accuracy and stability are noticeable in …
Persistent link: https://www.econbiz.de/10011573261
This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure expectations-driven speculative demand three approaches are followed, which are based respectively on using natural gas inventories consistently with the theory of storage (Kilian and...
Persistent link: https://www.econbiz.de/10015065319
This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...
Persistent link: https://www.econbiz.de/10009781626