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research. Many forecast surveys ask their participants for fixed-event forecasts. Since fixed-event forecasts have seasonal … very flexible. The forecast to be approximated as well as the information employed by the approximation can be any linear …
Persistent link: https://www.econbiz.de/10011518264
-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show … first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second …, that combining the production side and the demand side projections substantially improves the forecast performance, in …
Persistent link: https://www.econbiz.de/10011900715
Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...
Persistent link: https://www.econbiz.de/10011962843
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10011566828
Persistent link: https://www.econbiz.de/10001381803
Macroeconomic expectations of various economic agents are characterized by substantial cross-sectional heterogeneity. In this paper, we focus on expectations heterogeneity among professional forecasters. We first present stylized facts and discuss theoretical explanations for heterogeneous...
Persistent link: https://www.econbiz.de/10014472058
estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models … comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty …
Persistent link: https://www.econbiz.de/10015079872
Persistent link: https://www.econbiz.de/10000165255
when the frequency of the variable to be nowcast, such as GDP, is quarterly, while that of the underlying panel data is …
Persistent link: https://www.econbiz.de/10011846875
German GDP. Our recursive out-of-sample forecast evaluation results reveal that our framework is able to generate forecasts … superior to those obtained from a naive and more competitive benchmark models. These forecast gains seem to emerge especially …
Persistent link: https://www.econbiz.de/10012119825