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Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
Guérin, Pierre; Leiva-Leon, Danilo - Volkswirtschaftliche Fakultät, … - 2014
This paper estimates and forecasts U.S. business cycle turning points with state-level data. The probabilities of recession are obtained from univariate and multivariate regime-switching models based on a pairwise combination of national and state-level data. We use two classes of combination...
Persistent link: https://www.econbiz.de/10011111725
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A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010
nowcasting performance during a pronounced switch of business cycle phases due to the latest recession. We compare the factor … models' nowcasting performance to a random walk, autoregressive and the best-performing nowcasting models at our hands, which … improve upon the nowcasting performance of the VAR models when the model span and the nowcasting period stretch beyond a …
Persistent link: https://www.econbiz.de/10008470462
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Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120
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The Employment Cycles of Neighboring Cities
Wall, Howard J. - 2011
This paper examines the spatial interaction of neighboring cities over their employment cycles. The cycles of neighboring cities tend to be more similar to one another than are those of non-neighboring cities, although this is due primarily to neighbors' tendency to be in the same state. In...
Persistent link: https://www.econbiz.de/10013126966
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Nowcasting Regional GDP: The Case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - Volkswirtschaftliche Fakultät, … - 2015
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and …
Persistent link: https://www.econbiz.de/10011267848
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Real-time forecasting in a data-rich environment
LIEBERMANN, JOELLE - Volkswirtschaftliche Fakultät, … - 2012
-term horizons. Inflation is known to be hard to forecast, but by exploiting timely information one obtains gains at nowcasting and …
Persistent link: https://www.econbiz.de/10011259073
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Real-time nowcasting of GDP: Factor model versus professional forecasters
Liebermann, Joelle - Volkswirtschaftliche Fakultät, … - 2010
This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth … nowcasting performance. Analogously to Giannone et al. (2008) pseudo real-time results, we find that the precision of the …
Persistent link: https://www.econbiz.de/10008839204
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Real-Time Nowcasting Nominal GDP Under Structural Break
Barnett, William A.; Chauvet, Marcelle; Leiva-Leon, Danilo - Volkswirtschaftliche Fakultät, … - 2014
This paper provides early assessments of current U.S. Nominal GDP growth, which has been considered as a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy makers have available at the time predictions are made. However, real time...
Persistent link: https://www.econbiz.de/10011112417
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Nowcasting Tourist Arrivals to Prague: Google Econometrics
Zeynalov, Ayaz - Volkswirtschaftliche Fakultät, … - 2014
present research will report whether Google data is potentially useful in nowcasting or short-term forecasting using by …
Persistent link: https://www.econbiz.de/10011113609
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Golden Rule of Forecasting: Be conservative
Armstrong, J. Scott; Green, Kesten C.; Graefe, Andreas - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes a unifying theory of forecasting in the form of a Golden Rule of Forecasting. The Golden Rule is to be conservative. A conservative forecast is consistent with cumulative knowledge about the present and the past. To be conservative, forecasters must seek all knowledge...
Persistent link: https://www.econbiz.de/10011257908