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Forecasting with dynamics models using shrinkage-based estimation

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

Persistent link: https://www.econbiz.de/10010280764

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10010280768

Forecasting government bond yields with large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …

Persistent link: https://www.econbiz.de/10010286274

A Survey of Econometric Methods for Mixed-Frequency Data

Foroni, Claudia; Marcellino, Massimiliano - 2013

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, MIxed DAta Sampling (MIDAS) models, mixed frequency...

Persistent link: https://www.econbiz.de/10012143818

Have Standard VARs Remained Stable Since the Crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

Persistent link: https://www.econbiz.de/10012143851