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Does the federal reserve staff still beat private forecasters?
Shagi, Makram el-; Giesen, Sebastian; Jung, Alexander - 2014
Persistent link: https://www.econbiz.de/10010380095
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Flow on conjunctural information and forecast of euro area economic activity
Heinisch, Katja (contributor); Maurin, Laurent (contributor) - 2008
Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising … Giannone, Reichlin and Small (2006) and Bańbura and Rünstler (2007). An out-of-sample forecast comparison exercise is also … carried out for each component and GDP directly. The forecast performance is found to vary widely across components. Two …
Persistent link: https://www.econbiz.de/10003789413
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Real-time model uncertainty in the United States : the Fed from 1996-2003
Tetlow, Robert (contributor); Ironside, Brian (contributor) - 2006
We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's...
Persistent link: https://www.econbiz.de/10003320640
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(Un)Predictability and macroeconomic stability
D'Agostino, Antonello (contributor);  … - 2006
activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to …
Persistent link: https://www.econbiz.de/10003310819
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Forecast evaluation of small nested model sets
Hubrich, Kirstin; West, Kenneth D. - 2009
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs …-of-sample ; prediction ; testing ; multiple model comparisons ; inflation forecasting …
Persistent link: https://www.econbiz.de/10003832342
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Short-term forecasts of euro area GDP growth
Angelini, Elena; Camba-Méndez, Gonzalo; Giannone, Domenico - 2008
This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin, and Small (2005). The method consists in...
Persistent link: https://www.econbiz.de/10003794044
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Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK
Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2009
Datasets ; Forecast Combinations …
Persistent link: https://www.econbiz.de/10003865998
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Forecasting economic growth in the euro area during the Great Moderation and the Great Recession
Lombardi, Marco; Maier, Philipp - 2011
We evaluate forecasts for the euro area in data-rich and 'data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data...
Persistent link: https://www.econbiz.de/10009380421
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Survey-based nowcasting of US growth : a real-time forecast comparison over more than 40 years
D'Agostino, Antonello; Schnatz, Bernd - 2012
Persistent link: https://www.econbiz.de/10009765159
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Sometimes it helps : the evolving predictive power of spreads on GDP dynamics
Nicoletti, Giulio; Passaro, Raffaele - 2012
Persistent link: https://www.econbiz.de/10009765173