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The Nordhaus test with many zeros
Lahiri, Kajal; Zhao, Yongchen - 2020
growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast …
Persistent link: https://www.econbiz.de/10012226771
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Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the Euro Area, and Germany
Buchen, Teresa; Wohlrabe, Klaus - 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/10009721997
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Electoral cycles in macroeconomic forecasts
Cipullo, Davide; Reslow, André - 2021
This paper documents the existence of Political Forecast Cycles. In a theoretical model of political selection, we show …
Persistent link: https://www.econbiz.de/10012514965
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Tracking and predicting the German economy : ifo vs. PMI
Lehmann, Robert; Reif, Magnus - 2020
are provided by the ifo Institute and IHS Markit. We conduct an out-of-sample, real-time forecast experiment for growth of …
Persistent link: https://www.econbiz.de/10012174766
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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP,...
Persistent link: https://www.econbiz.de/10012304069
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A comparison of monthly global indicators for forecasting growth
Baumeister, Christiane; Guérin, Pierre - 2020
covers multiple dimensions of the global economy consistently produces substantial improvements in forecast accuracy, while …
Persistent link: https://www.econbiz.de/10012306598
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Forecasting GDP all over the world using leading indicators based on comprehensive survey data
Garnitz, Johanna; Lehmann, Robert; Wohlrabe, Klaus - 2019
, we use a free and instantaneous available source of leading indicators, the ifo World Economic Survey (WES), to forecast … major WES indicators produces on average lower forecast errors compared to a benchmark model. Second, the most important WES …, adding the WES indicators of the main trading partners leads to a further increase of forecast accuracy in more than 50% of …
Persistent link: https://www.econbiz.de/10012026466
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …
Persistent link: https://www.econbiz.de/10012154665
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The macroeconomic projections of the German government : a comparison to an independent forecasting institution
Lehmann, Robert; Wollmershäuser, Timo - 2019
the Joint Economic Forecast, which is an in-dependent forecasting institution in Germany. Our results indicate that … nominal GDP projections are upward biased for longer forecast horizons, which seems to be driven by a false assessment of the … government also deviates from the projections of the Joint Economic Forecast, which in fact worsened the forecast accuracy …
Persistent link: https://www.econbiz.de/10011958832
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The forecasting power of the ifo business survey
Lehmann, Robert - 2020
Business Climate and also delivers a multitude of further indicators to forecast several important economic variables. This …
Persistent link: https://www.econbiz.de/10012219339