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Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman; Urbach, Richard - 2013

importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …

Persistent link: https://www.econbiz.de/10010334249

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008

general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …

Persistent link: https://www.econbiz.de/10010292348

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series

Bhardwaj, Geetesh; Swanson, Norman R. - 2004

This paper addresses the notion that many fractional I(d) processes may fall into the ?empty box? category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...

Persistent link: https://www.econbiz.de/10010276818

Wavelet analysis and denoising: New tools for economists

Cascio, Iolanda Lo - 2007

This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used to show how the frequency...

Persistent link: https://www.econbiz.de/10010284181

Revisiting useful approaches to data-rich macroeconomic forecasting

Groen, Jan J. J.; Kapetanios, George - 2008

This paper revisits a number of data-rich prediction methods, like factor models, Bayesian ridge regression and forecast combinations, which are widely used in macroeconomic forecasting, and compares these with a lesser known alternative method: partial least squares regression. Under the...

Persistent link: https://www.econbiz.de/10010284202

Nowcasting Norwegian household consumption with debit card transaction data

Aastveit, Knut Are; Fastbø, Tuva Marie; Granziera, Eleonora - 2020

We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly without delays, providing a valuable early...

Persistent link: https://www.econbiz.de/10012661565

Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models

Hansen, Peter Reinhard; Lunde, Asger - 2003

criterion. An empirical analysis and a simulation study show the practical relevance of this inconsistency problem. The results …

Persistent link: https://www.econbiz.de/10010318932

Modelling Inflation in the Euro Area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10012143624

Detecting Imbalances in House Prices: What Goes up Must Come Down?

Anundsen, André K. - 2016

With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....

Persistent link: https://www.econbiz.de/10012143889

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