Showing 1 - 10 of 504
) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use … fractional integration and structural breaks in the meanand variance of inflation in the 1970s and 1980s and weincorporate these …
Persistent link: https://www.econbiz.de/10011316885
model in an empirical study on the forecasting of U.S. headline inflation. In particular, we forecast monthly inflation … using daily oil prices and quarterly inflation using effective federal funds rates. The forecasting results and other …
Persistent link: https://www.econbiz.de/10011809978
Understanding the developments of atmospheric ethane is essential for better identifying the anthropogenic sources of methane, a major greenhouse gas with high global warming potential. While previous studies have focused on analyzing past trends in ethane and modeling the inter-annual...
Persistent link: https://www.econbiz.de/10015373851
Persistent link: https://www.econbiz.de/10009765842
In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by professional forecasters we regress...
Persistent link: https://www.econbiz.de/10011305773
compared on forecast accuracy. We find that disagreement has predictive power indeed and that this variable can be used to …
Persistent link: https://www.econbiz.de/10011381819
mean can account for a number of secular developments such as changing inflation expectations, slowing productivity growth … area, the United States and Japan. In particular, incorporating survey forecast information helps to reduce the uncertainty …
Persistent link: https://www.econbiz.de/10011809970
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … exaggerated. Our main findings are that apparent longmemory is quite resistant to level shifts, although for a few inflation rates …
Persistent link: https://www.econbiz.de/10011283465
In this paper, we present a new time series model, whichdescribes self-exciting threshold autoregressive (SETAR) nonlinearityand seasonality simultaneously. The model is termed multiplicativeseasonal SETAR (SEASETAR). It can be viewed as a special case of ageneral non-multiplicativeSETAR model...
Persistent link: https://www.econbiz.de/10011304390
Persistent link: https://www.econbiz.de/10001569637