Showing 1 - 10 of 2,046
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10011109841
terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …
Persistent link: https://www.econbiz.de/10011111484
-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009004835
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …
Persistent link: https://www.econbiz.de/10009647399
and forecasting time series characteristics of postwar US inflation using a long memory autoregressive fractionally …
Persistent link: https://www.econbiz.de/10011110378
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
We analyse the multihorizon forecasting performance of several strategies to estimate the stationary AR(1) model in a … driftless random walk (RW). In addition, we explore the forecasting performance of pairwise combinations between these …
Persistent link: https://www.econbiz.de/10011195671
Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...
Persistent link: https://www.econbiz.de/10011113835
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …
Persistent link: https://www.econbiz.de/10008541474
from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation …, Survey of Professional Forecasters, and the Michigan Survey. While useful in developing models of forecasting inflation …
Persistent link: https://www.econbiz.de/10009647210