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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012258549
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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven …
Persistent link: https://www.econbiz.de/10010462763
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10003807908
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561
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Robust implementation of a parsimonious dynamic factor model to nowcast GDP
Duarte, Pablo; Süssmuth, Bernd - 2014
Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...
Persistent link: https://www.econbiz.de/10010229863
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
relative to expert forecasts and show that the MFTVP- SV-VAR delivers better inflation nowcasts in this regard. Using an …
Persistent link: https://www.econbiz.de/10012154665
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Nonlinearities in the exchange rate pass-through : the role of inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2022
estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting …) respectively over the period January 1993-August 2021. Both market and survey measures of inflation expectations are used as the … expectations of both consumers and producers are considered instead of expectations from consumer surveys only. Finally, inflation …
Persistent link: https://www.econbiz.de/10012806637
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Tackling large outliers in macroeconomic data with vector artificial neural network autoregression
Polito, Vito; Zhang, Yunyi - 2021
We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure...
Persistent link: https://www.econbiz.de/10012668293
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Inside the crystal ball : new approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016
Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore several new forecasting...
Persistent link: https://www.econbiz.de/10011429580