In the wake of the recent international economic recession in 2008-2009, forecasting methods designed to anticipate …

Numerous econometric models have been proposed for forecasting property market performance, but limited success has …

explanatory variables (ARIMAX). The study also evaluates the forecasting performance of the alternative models. The results …, are able to pick up shocks, which are present in the data, and thus provide the best forecasting tool of office returns in … office market, such as the boom-bust cycle of the 1980s-90s, and thus are suitable for modelling and forecasting only part of …

This paper compares the out-of-sample forecasting accuracy of five classes of time series models for market shares of … employ a random-walk with drift (Naive), a univariate ARIMA, a near-VAR and a general BVAR. The out-of- sample forecasts are … also compared against forecasts generated from structural econometric market share models (SEM). Using four accuracy …

deflator, it provides a root mean square forecasting error (RMFSE) of 1.0% at a four-year horizon for the period between 1971 … Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of … are cointegrated in corresponding intervals. The VAR and vector error correction (VEC) models are estimated and provide …

obtained for the USA is characterized by A1=4.0, A2=-0.03075, and t1=2 years. It provides a root mean square forecasting error … (RMFSE) of 0.8% at a two-year horizon for the period between 1965 and 2002 (the best among other inflation forecasting models … variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches …

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …