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Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014

We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...

Persistent link: https://www.econbiz.de/10010950792

Understanding and Comparing Factor-Based Forecasts

Boivin, Jean; Ng, Serena - National Bureau of Economic Research (NBER) - 2005

Forecasting using `diffusion indices' has received a good deal of attention in recent years. The idea is to use the common factors estimated from a large panel of data to help forecast the series of interest. This paper assesses the extent to which the forecasts are influenced by (i) how the...

Persistent link: https://www.econbiz.de/10005085145

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …

Persistent link: https://www.econbiz.de/10005714295

DSGE Model-Based Forecasting of Non-modelled Variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...

Persistent link: https://www.econbiz.de/10005718736

Global Forces and Monetary Policy Effectiveness

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2008

In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the 1984-2005 period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and...

Persistent link: https://www.econbiz.de/10005050455

Real-Time Forecasting with a Mixed-Frequency VAR

Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research (NBER) - 2013

This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...

Persistent link: https://www.econbiz.de/10010721189