Narrow search
Showing 1 - 10 of 37,744
Cover Image
Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10011604635
Cover Image
Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10005530754
Cover Image
Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …
Persistent link: https://www.econbiz.de/10012671221
Cover Image
Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …
Persistent link: https://www.econbiz.de/10012486165
Cover Image
Forecasting Inflation in Mexico using factor models: Do disaggregated CPI data improve forecast accuracy?
Ibarra-Ramírez, Raúl - 2010
In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set...
Persistent link: https://www.econbiz.de/10010322633
Cover Image
Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?
Ibarra-Ramírez, Raúl - Banco de México - 2010
In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set...
Persistent link: https://www.econbiz.de/10008494216
Cover Image
Short and long run causality measures: theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …
Persistent link: https://www.econbiz.de/10005111024
Cover Image
Forecasting Austrian Inflation
Moser, Gabriel; Rumler, Fabio; Scharler, Johann - 2004
In this paper we apply factor models proposed by Stock and Watson [18] and VAR and ARIMA models to generate 12-month … accuracy can be further improved by combining the information contained in factor and VAR models for some indices. With respect …
Persistent link: https://www.econbiz.de/10013370008
Cover Image
Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
Hendry, David F.; Hubrich, Kirstin - 2010
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis-specification, estimation uncertainty and...
Persistent link: https://www.econbiz.de/10011605201
Cover Image
Nowcasting inflation using high frequency data
Modugno, Michele - 2011
This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...
Persistent link: https://www.econbiz.de/10011605370