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Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

Hubrich, Kirstin - 2011

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

Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Chudik, Alexander; Georgiadis, Georgios - 2021

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

Is Forecasting with Large Models Informative? Assessing the Role of Judgement in Macroeconomic Forecasts

Mestre, Ricardo; McAdam, Peter - 2021

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

Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data

Ciccarelli, Matteo; Altavilla, Carlo - 2021

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

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

Alessi, Lucia - 2009

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

Testing for Differences in Survey-Based Density Expectations : A Compositional Data Approach

Dovern, Jonas; Glas, Alexander; Kenny, Geoff - 2023

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

Detecting and Predicting Forecast Breakdowns

Giacomini, Raffaella; Rossi, Barbara - 2021

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

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - 2008

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

On Approximating DSGE Models by Series Expansions

Lombardo, Giovanni - 2010

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

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

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