Similar Search Results

Characteristics of the household sector of the hidden economy in an emerging economy

Sookram, Sandra; Schneider, Friedrich G.; Watson, … - 2006

Using the case study of Trinidad and Tobago we investigate for an emerging economy the socioeconomic, demographic, and attitudinal characteristics that influence the propensity of individuals in the household sector to participate in the hidden economy and their perception of the risk of...

Persistent link: https://www.econbiz.de/10010294558

A model for the federal funds rate target

Jorda, Oscar; Hamilton, James D. - 1999

This paper is a statistical analysis of the manner in which the Federal Reserve determines the level of the Federal funds rate target, one of the most publicized and anticipated economic indicators in the financial world. The analysis presents two econometric challenges: (1) changes in the...

Persistent link: https://www.econbiz.de/10011940976

Do recessions occur concurrently across countries? A multinomial logistic approach

Poon, Aubrey; Zhu, Dan - 2022

We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

Persistent link: https://www.econbiz.de/10013426309

Forecasting Macedonian business cycle turning points using Qual VAR model

Petrovska, Magdalena; Krstevska, Aneta; Naumovski, Nikola - 2016

This paper aims to assess the usefulness of leading indicators in business cycle research and forecast. Initially we test the predictive power of the ESI within a static probit model as a leading indicator, commonly perceived to be able to provide a reliable summary of the current economic...

Persistent link: https://www.econbiz.de/10011785363

Adaptive models and heavy tails

Delle Monache, Davide; Petrella, Ivan - 2014

This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

Persistent link: https://www.econbiz.de/10011380995

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman - 2013

In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...

Persistent link: https://www.econbiz.de/10010334261

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman - 2013

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

Persistent link: https://www.econbiz.de/10010334264

Diffusion index model specification and estimation using mixed frequency datasets

Kihwan, Kim; Swanson, Norman - 2013

In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are...

Persistent link: https://www.econbiz.de/10010334265

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

n.a.

Persistent link: https://www.econbiz.de/10010263214

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

nonlinear models, and the issue of (dynamic) misspecification, with primary focus on the latter of these issues. One of our main …, and empirically investigate the (non)linear marginal predictive content of money for output. Our Monte Carlo evidence … suggests that the tests perform adequately in finite samples, and our empirical evidence suggests that there is non useful (non)linear …

Persistent link: https://www.econbiz.de/10010263216

1
2
3
4
5
6
7
8
9
10
Next
Last