most of regions of the world. Major findings of this paper are as follows. First, estimates of the costs, GDP and welfare …

macroeconomic indicators. In particular, it is intended to improve the accuracy of private consumption estimation by comparing and …

forecasts are decreasing in the forecast horizon …

positive effect of the MOVE shock on treasury rate volatility for up to about 4 months . Also, forecast error variance …

serious type II error problem in out-sample forecast. The implication is that SEM based on broader panel data even though it … should be inferior in in-sample forecast turns out to be superior in out sample forecast essentially because it has more case …

. The variance ratio statistic based on in-sample estimation of GARCH-MIDAS models shows that macroeconomic components … stock volatility. In addition to in-sample estimation, we conduct out-of-sample forecasts to investigate adequacy of …

English Abstract: This paper suggests a Gibbs sampling estimation of an unobserved component cointegrated VAR Model to … smaller or equivalent to the estimation results of Chow-Lin (1971), Denton (1971), Fernandez (1981), and Litterman (1983).The … ex post forecasts Korean monthly GDP(therefore quarterly GDP) in 6 month horizon and compares the forecast performance …