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Advances in Forecasting Under Instability

Rossi, Barbara - 2013

as well as estimation that have been recently proposed in the literature …

Persistent link: https://www.econbiz.de/10014177227

Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts

Rossi, Barbara; Sekhposyan, Tatevik - 2014

, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our … framework is general: it can be applied to model-based forecasts obtained either with recursive or rolling window estimation … schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality …

Persistent link: https://www.econbiz.de/10014178323

Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?

Rossi, Barbara; Sekhposyan, Tatevik - 2008

We evaluate various models' relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models' relative performance can be varying over time. We show that the models' relative performance has, in fact,...

Persistent link: https://www.econbiz.de/10014214874

Understanding Models’ Forecasting Performance

Rossi, Barbara; Sekhposyan, Tatevik - 2010

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting....

Persistent link: https://www.econbiz.de/10014192175

Realized semicovariances : looking for signs of direction inside the covariance matrix

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2017 - This version: September 5, 2017

We propose a new decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns. Under an asymptotic setting in which the sampling interval goes to zero, we derive the asymptotic properties of the resulting realized semicovariance...

Persistent link: https://www.econbiz.de/10012116691

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Hall, Alastair R. - 2014

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

Persistent link: https://www.econbiz.de/10013070607

Can Exchange Rates Forecast Commodity Prices?

Chen, Yu-chin - 2010

This paper demonstrates that quot;commodity currencyquot; exchange rates have remarkably robust power in predicting future global commodity prices, both in sample and out-of-sample. A critical element of our in-sample approach is to allow for structural breaks, endemic to empirical exchange rate...

Persistent link: https://www.econbiz.de/10012715799

School choice under imperfect information

Ajayi, Kehinde; Sidibé, Modibo - 2020

As in many school districts around the world, prospective high-school students in Ghana are assigned to schools through a centralized system. Using administrative data on applications, we report that virtually all students adopt a weakly dominated strategy, and matching outcomes show that...

Persistent link: https://www.econbiz.de/10012243276

Investor Overconfidence and the Forward Premium Puzzle

Burnside, A. Craig - 2010

We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the forward rate than in the spot rate. Thus,...

Persistent link: https://www.econbiz.de/10013144312

Dynamic semiparametric models for expected shortfall (and value-at-risk)

Patton, Andrew J.; Ziegel, Johanna; Chen, Rui - 2017

propose new dynamic models for these risk measures. We provide estimation and inference methods for the proposed models, and …

Persistent link: https://www.econbiz.de/10011688247