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Forecasting national activity using lots of international predictors: An application to New Zealand

Eickmeier, Sandra; Ng, Tim - In: International Journal of Forecasting 27 (2011) 2, pp. 496-511

archetypal small open economy. We apply “data-rich” factor and shrinkage methods to efficiently handle hundreds of predictor … the data-rich methods differs widely, with shrinkage methods and partial least squares performing best in handling the …

Persistent link: https://www.econbiz.de/10011051462

Multi-step-ahead estimation of time series models

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

We study the fitting of time series models via the minimization of a multi-step-ahead forecast error criterion that is based on the asymptotic average of squared forecast errors. Our objective function uses frequency domain concepts, but is formulated in the time domain, and allows the...

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

Hierarchical shrinkage priors for dynamic regressions with many predictors

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

This paper examines the properties of Bayes shrinkage estimators for dynamic regressions that are based on hierarchical … versions of the typical normal prior. Various popular penalized least squares estimators for shrinkage and selection in … for the period 1959–2010, I extensively evaluate the forecasting properties of Bayesian shrinkage in macroeconomic …

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

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International Journal of Forecasting 30 (2014) 4, pp. 963-980

We extend the recently introduced latent threshold dynamic models to include dependencies among the dynamic latent factors which underlie multivariate volatility. With an ability to induce time-varying sparsity in factor loadings, these models now also allow time-varying correlations among...

Persistent link: https://www.econbiz.de/10010939732

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 introduce a new model that incorporates the effects of non-pervasive shocks, an Approximate Dynamic Factor Model with a sparse model for the idiosyncratic component. Then, we test the...

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

Approximating and forecasting macroeconomic signals in real-time

Valle e Azevedo, João; Pereira, Ana - In: International Journal of Forecasting 29 (2013) 3, pp. 479-492

We incorporate factors extracted from a large panel of macroeconomic time series in the predictions of two signals related to real economic activity: business cycle fluctuations and the medium- to long-run component of output growth. The latter is simply output growth short of fluctuations with...

Persistent link: https://www.econbiz.de/10010679037

A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP

Bańbura, Marta; Rünstler, Gerhard - In: International Journal of Forecasting 27 (2011) 2, pp. 333-346

We derive forecast weights and uncertainty measures for assessing the roles of individual series in a dynamic factor model (DFM) for forecasting the euro area GDP from monthly indicators. The use of the Kalman smoother allows us to deal with publication lags when calculating the above measures....

Persistent link: https://www.econbiz.de/10011051414

Forecasting with factor-augmented error correction models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International Journal of Forecasting 30 (2014) 3, pp. 589-612

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual...

Persistent link: https://www.econbiz.de/10010786468

Estimating causal effects of credit decisions

Fahner, Gerald - In: International Journal of Forecasting 28 (2012) 1, pp. 248-260

In principle, making credit decisions under uncertainty can be approached by estimating the potential future outcomes that will result from the various decision alternatives. In practice, estimation difficulties may arise as a result of selection bias and limited historic testing. We review some...

Persistent link: https://www.econbiz.de/10010796144

Forecasting method selection in a global supply chain

Acar, Yavuz; Gardner, Everette S. - In: International Journal of Forecasting 28 (2012) 4, pp. 842-848

In supply chains, forecasting is an important determinant of operational performance, although there have been few studies that have selected forecasting methods on that basis. This paper is a case study of forecasting method selection for a global manufacturer of lubricants and fuel additives,...

Persistent link: https://www.econbiz.de/10010603364