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). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic …
Persistent link: https://www.econbiz.de/10011754400
variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally …
Persistent link: https://www.econbiz.de/10008657195
Fundamental economic conditions are crucial determinants of equity premia. However, commonly used predictors do not adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To address the inadequacy, this paper constructs macro...
Persistent link: https://www.econbiz.de/10008746919
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...
Persistent link: https://www.econbiz.de/10003781548
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://www.econbiz.de/10012613922
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements …
Persistent link: https://www.econbiz.de/10009526804
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