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Comparing alternative predictors based on large-panel factor models

D’Agostino, Antonello; Giannone, Domenico - 2006

This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a "large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...

Persistent link: https://www.econbiz.de/10011604726

The yield curve as a predictor and emerging economies

Mehl, Arnaud - 2006

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …

Persistent link: https://www.econbiz.de/10011604737

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10011604877

The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models

Darracq Pariès, Matthieu; Maurin, Laurent - 2008

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

Persistent link: https://www.econbiz.de/10011604940

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10011605015

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10011605063

Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10011605235

Nowcasting inflation using high frequency data

Modugno, Michele - 2011

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...

Persistent link: https://www.econbiz.de/10011605370

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - 2012

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

Persistent link: https://www.econbiz.de/10011605473