Narrow search
Showing 1 - 10 of 668
Cover Image
Density forecast combinations: The real-time dimension
McAdam, Peter; Warne, Anders - 2020
Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...
Persistent link: https://www.econbiz.de/10012422040
Cover Image
Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models
Warne, Anders - 2013
This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint...
Persistent link: https://www.econbiz.de/10013083316
Cover Image
Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10013317369
Cover Image
Predictive likelihood comparisons with DSGE and DSGE-VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2013
This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint...
Persistent link: https://www.econbiz.de/10011605581
Cover Image
An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economi...
Camba-Méndez, Gonzalo; Kapetanios, George; Papailias, Fotis - 2015
This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...
Persistent link: https://www.econbiz.de/10011605818
Cover Image
DSGE model forecasting: Rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
Persistent link: https://www.econbiz.de/10014374419
Cover Image
Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10011853328
Cover Image
Density Forecast Combinations : The Real-Time Dimension
McAdam, Peter - 2020
Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...
Persistent link: https://www.econbiz.de/10012840752
Cover Image
Euro Area Real-Time Density Forecasting with Financial or Labor Market Frictions
McAdam, Peter - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10012921899
Cover Image
An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets : Forecasting the Industrial Production Growth for Euro Area Econom...
Camba-Mendez, Gonzalo - 2015
This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...
Persistent link: https://www.econbiz.de/10013025082