Showing 1 - 10 of 505
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10013122536
This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...
Persistent link: https://www.econbiz.de/10013315353
a significant impact of forecasting accuracy irrespective of the model in use, ostensibly due to the presence of breaks …
Persistent link: https://www.econbiz.de/10013316469
This paper explores the role of model and vintage combination in forecasting, with a novel approach that exploits the …
Persistent link: https://www.econbiz.de/10013316663
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical …
Persistent link: https://www.econbiz.de/10013154951
We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...
Persistent link: https://www.econbiz.de/10014257125
We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out-of-sample performance of the model, judged by some loss...
Persistent link: https://www.econbiz.de/10013317583
a significant impact of forecasting accuracy irrespective of the model in use, ostensibly due to the presence of breaks …
Persistent link: https://www.econbiz.de/10011604996
We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...
Persistent link: https://www.econbiz.de/10013136525
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10013316643