Showing 1 - 10 of 5,250
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to …
Persistent link: https://www.econbiz.de/10010291802
shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …
Persistent link: https://www.econbiz.de/10010291928
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10010292149
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...
Persistent link: https://www.econbiz.de/10010292242
This paper presents a simple methodology for decomposing changes in the aggregate labor force participation rate (LFPR) over time into demographic group changes in labor force participation behavior and in population share. The purpose is to identify the relative importance of behavioral changes...
Persistent link: https://www.econbiz.de/10010292316
-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …
Persistent link: https://www.econbiz.de/10010292409
in forecasting from using bivariate models remained small otherwise. …
Persistent link: https://www.econbiz.de/10010292735
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10010292774
research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper …
Persistent link: https://www.econbiz.de/10010292782
In any dataset with individual forecasts of economic variables, some forecasters will perform better than others. However, it is possible that these ex post differences reflect sampling variation and thus overstate the ex ante differences between forecasters. In this paper, we present a simple...
Persistent link: https://www.econbiz.de/10010292810