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Forecasting leadership transitions around the world

Cáceres, Neila; Malone, Samuel W. - In: International Journal of Forecasting 29 (2013) 4, pp. 575-591

We use popular non-parametric (CART, TreeNet) and parametric (logit) techniques to identify robust economic, demographic and political conditions that lead to shifts in control in the executive branch of government in 162 countries during the period 1960–2004. We find that institutional...

Persistent link: https://www.econbiz.de/10011051432

Hierarchical shrinkage priors for dynamic regressions with many predictors

Korobilis, Dimitris - In: International Journal of Forecasting 29 (2013) 1, pp. 43-59

for the period 1959–2010, I extensively evaluate the forecasting properties of Bayesian shrinkage in macroeconomic … forecasting with many predictors. The results show that, for particular data series, hierarchical shrinkage dominates factor model …

Persistent link: https://www.econbiz.de/10010603361

Does the euro area forward rate provide accurate forecasts of the short rate?

Galvao, Ana Beatriz; Costa, Sonia - In: International Journal of Forecasting 29 (2013) 1, pp. 131-141

forecasting performance. We develop a method for computing forward premium confidence intervals to identify ex-ante periods during …

Persistent link: https://www.econbiz.de/10010603366

Forecasting with vector autoregressive models of data vintages: US output growth and inflation

Clements, Michael P.; Galvão, Ana Beatriz - In: International Journal of Forecasting 29 (2013) 4, pp. 698-714

forecasting performance of models which include information on annual revisions is superior to that of models which only include …

Persistent link: https://www.econbiz.de/10010709412

Shrinkage estimation of semiparametric multiplicative error models

Brownlees, Christian T.; Gallo, Giampiero M. - In: International Journal of Forecasting 27 (2011) 2, pp. 365-378

components and controls the smoothness of the estimated flexible component. The results show that, from the forecasting …

Persistent link: https://www.econbiz.de/10010573801

Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - In: International Journal of Forecasting 28 (2012) 2, pp. 446-455

that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10010577328

Multi-step-ahead estimation of time series models

McElroy, Tucker; Wildi, Marc - In: International Journal of Forecasting 29 (2013) 3, pp. 378-394

of the parameter estimates, and study the asymptotic impact of model misspecification on multi-step-ahead forecasting …. The method is illustrated through a forecasting exercise, applied to several time series. …

Persistent link: https://www.econbiz.de/10010679038

The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen; Stentoft, Lars; Violante, Franceso - In: International Journal of Forecasting 30 (2014) 1, pp. 78-98

We assess the predictive accuracies of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set of 444 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10010730021

Forecasting with approximate dynamic factor models: The role of non-pervasive shocks

Luciani, Matteo - In: International Journal of Forecasting 30 (2014) 1, pp. 20-29

This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first … model for the idiosyncratic component. Then, we test the forecasting performance of this model both in simulations, and on a …

Persistent link: https://www.econbiz.de/10010730024

Prediction in a spatial nested error components panel data model

Baltagi, Badi H.; Pirotte, Alain - In: International Journal of Forecasting 30 (2014) 3, pp. 407-414

forecasting average housing prices located in a county nested in a state. When deriving the BLUP, we take into account the spatial …

Persistent link: https://www.econbiz.de/10010786464