Narrow search
Showing 1 - 10 of 296
Cover Image
How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2005
This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models...
Persistent link: https://www.econbiz.de/10005661494
Cover Image
Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …
Persistent link: https://www.econbiz.de/10009643504
Cover Image
Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005342193
Cover Image
Joint Confidence Sets for Structural Impulse Responses
Inoue, Atsushi; Kilian, Lutz - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10011431286
Cover Image
Joint confidence sets for structural impulse responses
Inoue, Atsushi; Kilian, Lutz - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10011421682
Cover Image
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10013100207
Cover Image
Joint Confidence Sets for Structural Impulse Responses
Inoue, Atsushi - 2016
Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …
Persistent link: https://www.econbiz.de/10012997070
Cover Image
A Scoring Rule for Factor and Autoregressive Models Under Misspecification
Casarin, Roberto - 2018
Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which can be easily estimated and used in a large dimensional setting, is multivariate autoregressive models (MAR), where independent autoregressive processes are assumed for the series...
Persistent link: https://www.econbiz.de/10012914092
Cover Image
Exchange Rates and Monetary Fundamentals : What Do We Learn from Long-Horizon Regressions?
Kilian, Lutz - 1998
apparent lack of higher power at long horizons suggests that previous findings of increasing long-horizon predictability are … studies, the test provides only weak evidence of exchange rate predictability and no evidence of increasing long …-horizon predictability. Many of the differences in results can be traced to the implementation of the test …
Persistent link: https://www.econbiz.de/10014072162
Cover Image
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10014167514