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Macroeconomic forecasting in times of crises

Guerrón-Quintana, Pablo A.; Zhong, Molin - 2017

We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based … does particularly well during the Great Recession and for variables such as inflation, unemployment, and real personal …

Persistent link: https://www.econbiz.de/10011708260

Forecast combination for euro area inflation : a cure in times of crisis?

Hubrich, Kirstin; Skudelny, Frauke - 2016

provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …

Persistent link: https://www.econbiz.de/10011579164

A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

Persistent link: https://www.econbiz.de/10011708094

An output gap measure for the euro area : exploiting country-level and cross-sectional data heterogeneity

Manuel, González-Astudillo, - 2018

This paper proposes a methodology to estimate the euro-area output gap by taking advantage of two types of data heterogeneity. On the one hand, the method uses information on real GDP, inflation, and the unemployment rate for each member state; on the other hand, it jointly considers this...

Persistent link: https://www.econbiz.de/10011932248

Capital misallocation and secular stagnation

Caggese, Andrea; Pérez, Ander - 2017 - This version: January 17, 2017

The widespread emergence of intangible technologies in recent decades may have significantly hurt output growth -- even when these technologies replaced considerably less productive tangible technologies -- because of structurally low interest rates caused by demographic forces. This insight is...

Persistent link: https://www.econbiz.de/10011708126

Bubbles and stagnation

Xavier, Inês - 2022

Persistent link: https://www.econbiz.de/10013413163

Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach

Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015

Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...

Persistent link: https://www.econbiz.de/10011499604

When can trend-cycle decompositions be trusted?

Gonzalez-Astudillo, Manuel; Roberts, John M. - 2016

In this paper, we examine the results of GDP trend-cycle decompositions from the estimation of bivariate unobserved components models that allow for correlated trend and cycle innovations. Three competing variables are considered in the bivariate setup along with GDP: the unemployment rate, the...

Persistent link: https://www.econbiz.de/10011579122

GDP trend-cycle decompositions using state-level data

Gonzalez-Astudillo, Manuel - 2017

Columbia. Results show that the U.S. output gap reached about -8% during the Great Recession and is about 0.6% in 2016:Q1 …

Persistent link: https://www.econbiz.de/10011709323

Spectral backtests of forecast distributions with application to risk management

Gordy, Michael B.; McNeil, Alexander J. - 2018

We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...

Persistent link: https://www.econbiz.de/10011927115

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