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What do professional forecasters actually predict?

Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2015

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

Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way … nowcasts. The combination weights are latent random variables that depend on past nowcasting performance and other learning …

Persistent link: https://www.econbiz.de/10010465155

Forecasting daily time series using periodic unobserved components time series models

Koopman, Siem Jan; Ooms, Marius - 2004

We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and seasonal. Periodic time series models allow dynamic characteristics to depend on the period of the year, month, week or day. In the...

Persistent link: https://www.econbiz.de/10011342560

Can Google search data help predict macroeconomic series?

Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; … - 2019

been satisfactorily answered. We focus on out-of-sample nowcasting, and extend the Bayesian Structural Time Series model …

Persistent link: https://www.econbiz.de/10011987495

Analyzing fixed-event forecast revisions

Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - 2013

Persistent link: https://www.econbiz.de/10009765842

Statistical early warning models with applications

Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024

This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official...

Persistent link: https://www.econbiz.de/10015062979

Does economic uncertainty predict real activity in real-time?

Keijsers, Bart; Dijk, Dick van - 2022

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

Persistent link: https://www.econbiz.de/10013375365

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

We develop a vector autoregressive model with time variation in the mean and the variance. The unobserved time-varying mean is assumed to follow a random walk and we also link it to long-term Consensus forecasts, similar in spirit to so called democratic priors. The changes in variance are...

Persistent link: https://www.econbiz.de/10011809970

Slow expectation-maximization convergence in low-noise dynamic factor models

Opschoor, Daan; Dijk, Dick van - 2023

estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low …-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo …

Persistent link: https://www.econbiz.de/10014249849