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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10010958731
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The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy
Wieland, Volker; Wolters, Maik - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10008504547
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Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims
Zadrozny, Peter A. - 2022
autoregressive (VAR) equations that determine exogenous variables, RES equations reduce to reduced-form VAR equations for endogenous … variables with exogenous variables (VARX). The combined endogenous-VARX and exogenous-VAR equations comprise the reduced …-form overall VAR (OVAR) equations of all variables in a LREM. The sequence of specified, solved, and combined equations defines a …
Persistent link: https://www.econbiz.de/10013471283
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010420345
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - Center for Financial Studies - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010986379
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010986387
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Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - Center for Financial Studies - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10010958750
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Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10004987254
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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to … alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from …
Persistent link: https://www.econbiz.de/10012669296
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Core inflation in the Euro area: Evidence from the structural VAR approach
Hahn, Elke - Center for Financial Studies - 2002
Against the difficult background of analysing aggregated data in this paper core inflation in the euro area is estimated by means of the structural vector autoregressive approach. We demonstrate that the HICP sometimes seems to be a misleading indicator for monetary policy in the euro area. We...
Persistent link: https://www.econbiz.de/10010958586