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A conditionally heteroskedastic global inflation model
Morales-Arias, Leonardo; Moura, Guilherme V. - In: Journal of Economic Studies 40 (2013) 4, pp. 572-596
observable inflation to change over time. Out-of-sample forecasting exercises are used to test the model validity. Design … the Pesaran and Timmermann test. Findings – The proposed model fits the data quite well and has good forecasting …
Persistent link: https://www.econbiz.de/10010814565
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Cointegration test of the monetary theory of inflation and forecasting accuracy of the univariate and vector ARMA models of inflation
Shamsuddin, Abul F.M.; Holmes, Richard A. - In: Journal of Economic Studies 24 (1997) October, pp. 294-306
made for univariate and vector ARMA models of inflation. States that the forecasting accuracy of the multivariate ARMA …
Persistent link: https://www.econbiz.de/10005003355
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A comparison of forecasts from UK economic models and some Bayesian vector autoregressive models
Holden, Ken - In: Journal of Economic Studies 24 (1997) September, pp. 242-256
Analyses and checks the annual forecasts produced each autumn from four prominent UK economic modelling organizations. Compares these forecasts with those of three Bayesian vector-autoregressive models. Examines the accuracy for each set of forecasts up to four years ahead and for different...
Persistent link: https://www.econbiz.de/10005003360
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A cyclical characterization of economic activity in the United States, 1887-1940
García-Ferrer, Antonio; Río, Ana del - In: Journal of Economic Studies 28 (2001) January, pp. 74-92
We analyze historical business cycles as a sum of short- and medium-term cycles defined for a particular class of unobserved component models. By associating the trend with the low frequencies of the pseudo-spectrum in the frequency domain, manipulation of the spectral bandwidth will allow us to...
Persistent link: https://www.econbiz.de/10005009730
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Forecasting the South African economy: a hybrid-DSGE approach
Guangling “Dave” Liu; Gupta, Rangan; Schaling, Eric - In: Journal of Economic Studies 37 (2010) May, pp. 181-195
hybrid-DSGE model outperforms the classical VAR, but not the Bayesian VARs in terms of out-of-sample forecasting performances … theoretical DSGE model has a future in forecasting the South African economy. Originality/value – To the best of the authors …
Persistent link: https://www.econbiz.de/10008675224
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Factors influencing Federal Reserve forecasts of inflation
Baghestani, Hamid; AbuAl-Foul, Bassam - In: Journal of Economic Studies 37 (2010) May, pp. 196-207
Purpose – This study aims to both test the asymmetric information hypothesis and explore the factors influencing the one- through four-quarter-ahead Federal Reserve inflation forecasts for 1983-2002. Design/methodology/approach – Encompassing tests are used to examine the asymmetric...
Persistent link: https://www.econbiz.de/10008675231
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Forecasting in inefficient commodity markets
Gogas, Periklis; Serletis, Apostolos - In: Journal of Economic Studies 36 (2009) September, pp. 383-392
time-varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH … uses the model to perform static and dynamic forecasts over different horizons and to compare its forecasting performance … of major importance in forecasting. …
Persistent link: https://www.econbiz.de/10008459560
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Forecasting in inefficient commodity markets
Gogas, Periklis; Serletis, Apostolos - In: Journal of Economic Studies 36 (2009) 4, pp. 383-392
time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH … uses the model to perform static and dynamic forecasts over different horizons and to compare its forecasting performance … of major importance in forecasting.  …
Persistent link: https://www.econbiz.de/10014863206
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Forecasting the South African economy: a hybrid‐DSGE approach
“Dave” Liu, Guangling; Gupta, Rangan; Schaling, Eric - In: Journal of Economic Studies 37 (2010) 2, pp. 181-195
hybrid‐DSGE model outperforms the classical VAR, but not the Bayesian VARs in terms of out‐of‐sample forecasting performances … theoretical DSGE model has a future in forecasting the South African economy. Originality/value – To the best of the authors …
Persistent link: https://www.econbiz.de/10014863238
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Factors influencing Federal Reserve forecasts of inflation
Baghestani, Hamid; AbuAl‐Foul, Bassam - In: Journal of Economic Studies 37 (2010) 2, pp. 196-207
Purpose – This study aims to both test the asymmetric information hypothesis and explore the factors influencing the one‐ through four‐quarter‐ahead Federal Reserve inflation forecasts for 1983‐2002. Design/methodology/approach – Encompassing tests are used to examine the asymmetric...
Persistent link: https://www.econbiz.de/10014863239