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Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006

-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the … nonlinear or time-varying coefficient models. It turns out that most variables which have a similar level for Germany and the … that for variables which have a similar level for Germany and the Euro-area it may be reasonable to consider the German pre …

Persistent link: https://www.econbiz.de/10010263654

Sources of macroeconomic fluctuations: A regime-switching DSGE approach

Liu, Zheng; Waggoner, Daniel F.; Zha, Tao - 2010

We examine the sources of macroeconomic economic fluctuations by estimating a variety of medium-scale DSGE models within a unified framework that incorporates regime switching both in shock variances and in the inflation target. Our general framework includes a number of different model features...

Persistent link: https://www.econbiz.de/10010292241

Asymmetric expectation effects of regime shifts and the great moderation

Liu, Zheng; Waggoner, Daniel F.; Zha, Tao - 2007

The possibility of regime shifts in monetary policy can have important effects on rational agents' expectation formation and equilibrium dynamics. In a dynamic stochastic general equilibrium model where the monetary policy rule switches between a dovish regime that accommodates inflation and a...

Persistent link: https://www.econbiz.de/10010292340

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10010295816

Generalised method of moments with latent variables

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...

Persistent link: https://www.econbiz.de/10010368208

Time-scale transformations of discrete time processes

Jordà, Òscar; Marcellino, Massimiliano - 2003

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...

Persistent link: https://www.econbiz.de/10010274321

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006

Persistent link: https://www.econbiz.de/10010276173

Perturbation methods for Markov-switching DSGE models

Foerster, Andrew; Rubio-Ramírez, Juan; Waggoner, Daniel F. - 2013

any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in …

Persistent link: https://www.econbiz.de/10010397689

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide...

Persistent link: https://www.econbiz.de/10010284174