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Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10010397390

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - 1998

In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...

Persistent link: https://www.econbiz.de/10010397440

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10010397465

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583

Estimation of the term structure of interest rates - A parametric approach

Geyer, Alois; Mader, Richard - 1999

Readily available information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. Interest rate curves can be used for inflation and output forecasts, they may give useful indications about...

Persistent link: https://www.econbiz.de/10013369954

Macroeconomic fluctuations in Europe: demand or supply, permanent or temporary?

Hartley, Peter R.; Joseph A. Whitt, Jr. - 1997

We use generalized method of moments to estimate a rational expectations aggregate demand-aggregate supply macroeconomic model for five European economies. Our aim is to examine whether supply or demand shocks have predominated in the major European economies during the post-war era and whether...

Persistent link: https://www.econbiz.de/10010397376

A generalized method for detecting abnormal returns and changes in systematic risk

Cyree, Ken B.; DeGennaro, Ramon P. - 2001

The authors generalize traditional event-study techniques to allow for event-induced parameter shifts, shifting variances, and firm-specific event periods. Their method, which nests traditional methods, also permits systematic risk to change gradually during the event period and exit the period...

Persistent link: https://www.econbiz.de/10010397379

Stability of steady states in a model of pleasant monetarist arithmetic

Espinosa-Vega, Marco; Russell, Steven - 2001

In this paper the authors study the stability properties of the alternative steady-state equilibria that arise in a neoclassical production model that delivers pleasant monetarist arithmetic. They show that if the government’s monetary policy rule involves a fixed money supply growth rate,...

Persistent link: https://www.econbiz.de/10010397420

The present-value model of the current account has been rejected: Round up the usual suspects

Nason, James M.; Rogers, John H. - 2003

Tests of the present-value model of the current account are frequently rejected by the data. Standard explanations rely on the "usual suspects" of nonseparable preferences, shocks to fiscal policy and the world real interest rate, and imperfect international capital mobility. The authors confirm...

Persistent link: https://www.econbiz.de/10010397422

Comparing dynamic equilibrium economies to data

Fernández-Villaverde, Jesus; Rubio-Ramírez, Juan F. - 2001

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...

Persistent link: https://www.econbiz.de/10010397442

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