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Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Hall, Alastair; Inoue, Atsushi; Nason M, James; Rossi, … - Duke University, Department of Economics - 2007

We propose a new Information Criterion for Impulse Response Function Matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters,...

Persistent link: https://www.econbiz.de/10005787377

Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?

Sekhposyan, Tatevik; Rossi, Barbara - Duke University, Department of Economics - 2009

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

Persistent link: https://www.econbiz.de/10005039575

How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?

Rossi, Barbara; Giacomini, Raffaella - Duke University, Department of Economics - 2005

new test for forecast breakdown as well as a variety of in-sample and out-of-sample testing procedures. Empirical research … parameter estimates that describe this empirical relationship were not stable over time. We document the existence of a forecast … also provide empirical support for the theoretical conjecture that the cause of the forecast failure is closely linked to …

Persistent link: https://www.econbiz.de/10005787365

CAN EXCHANGE RATES FORECAST COMMODITY PRICES?

Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2008

This paper studies the dynamic relationship between exchange rate fluctuations and world commodity price movements. Taking into account parameter instability, we demonstrate surprisingly robust evidence that exchange rates predict world commodity price movements, both in-sample and...

Persistent link: https://www.econbiz.de/10005787382

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - Duke University, Department of Economics - 2010

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/10008549014

Can Exchange Rates Forecast Commodity Prices?

Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2010

This paper demonstrates that "commodity currency" 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 models,...

Persistent link: https://www.econbiz.de/10008549016

Understanding Models' Forecasting Performance

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 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/10008549032

INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS

Hall, Alastair; Atsushi; Nason, James M; Rossi, Barbara - Duke University, Department of Economics - 2009

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

Persistent link: https://www.econbiz.de/10008549053

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

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 2010

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/10008549062

Forecast Comparisons in Unstable Environments

Giacomini, Raffaella; Rossi, Barbara - Duke University, Department of Economics - 2008

historical samples. In contrast to previous approaches to forecast comparison, which are based on measures of ìglobal …

Persistent link: https://www.econbiz.de/10005198735