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Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

Persistent link: https://www.econbiz.de/10005420506

How stable is the predictive power of the yield curve? evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - Federal Reserve Bank of New York - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10005726595

Forecasting in large macroeconomic panels using Bayesian Model Averaging

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2003

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …

Persistent link: https://www.econbiz.de/10005726664

Forecasting and estimating multiple change-point models with an unknown number of change points

Koop, Gary M.; Potter, Simon M. - Federal Reserve Bank of New York - 2004

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...

Persistent link: https://www.econbiz.de/10005420535

Generalized canonical regression

Estrella, Arturo - Federal Reserve Bank of New York - 2007

This paper introduces a generalized approach to canonical regression, in which a set of jointly dependent variables enters the left-hand side of the equation as a linear combination, formally like the linear combination of regressors in the right-hand side of the equation. Natural applications...

Persistent link: https://www.econbiz.de/10005420608

Prior elicitation in multiple change-point models

Koop, Gary M.; Potter, Simon M. - Federal Reserve Bank of New York - 2004

This paper discusses Bayesian inference in change-point models. Current approaches place a possibly hierarchical prior over a known number of change points. We show how two popular priors have some potentially undesirable properties, such as allocating excessive prior weight to change points...

Persistent link: https://www.econbiz.de/10005420611

A flexible approach to parametric inference in nonlinear time series models

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2007

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible parametric model that accommodates virtually any of these specifications - and does so in a simple way that allows for straightforward Bayesian...

Persistent link: https://www.econbiz.de/10005420613

Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile

Negro, Marco Del; Schorfheide, Frank - Federal Reserve Bank of New York - 2008

This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model, specified along the lines of Galí and Monacelli (2005) and Lubik and Schorfheide (2007), using Chilean data for the full inflation-targeting period of 1999 to 2007. We study the specification of the...

Persistent link: https://www.econbiz.de/10005420627

DSGE model-based forecasting

Negro, Marco Del; Schorfheide, Frank - Federal Reserve Bank of New York - 2012

all three purposes—forecasting, story telling, and policy experiments—and review their forecasting record. We also provide … our own real-time assessment of the forecasting performance of the Smets and Wouters (2007) model data up to 2011, compare …

Persistent link: https://www.econbiz.de/10011027231

Forecasting economic and financial variables with global VARs

Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - Federal Reserve Bank of New York - 2008

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of …

Persistent link: https://www.econbiz.de/10005726577

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