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Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - Federal Reserve Bank of Cleveland - 2012

The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011133739

Forecasting with small macroeconomic VARs in the presence of instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest rates. However …, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be … effectiveness of such methods in real time forecasting. We use forecasts from univariate time series models, the Survey of …

Persistent link: https://www.econbiz.de/10005513100

Improving forecast accuracy by combining recursive and rolling forecasts

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance tradeoff faced when choosing between either the recursive and rolling...

Persistent link: https://www.econbiz.de/10005490956

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from …

Persistent link: https://www.econbiz.de/10005490997

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

Persistent link: https://www.econbiz.de/10005393632

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007

instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the …

Persistent link: https://www.econbiz.de/10005394029

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2008

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

Persistent link: https://www.econbiz.de/10004993799

Small sample properties of estimators of non-linear models of covariance structure

Clark, Todd E. - Federal Reserve Bank of Kansas City - 1995

This study examines the small sample properties of GMM and ML estimators of non-linear models of covariance structure. The study focuses on the properties of parameter estimates and the Hansen (1982) and Newey (1985) model specification test. It use Monte Carlo simulations to consider the...

Persistent link: https://www.econbiz.de/10005724267

Policy rules in macroeconomic forecasting models

Clark, Todd E. - In: Economic Commentary (2012) Oct

This Commentary describes how some of the Cleveland Fed’s macroeconomic forecasting models have been modified to use a …

Persistent link: https://www.econbiz.de/10011234954

Tests of equal forecast accuracy for overlapping models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2011

subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an out … comparing the predictive content of credit spreads to growth in real stock prices for forecasting U.S. real GDP growth. …

Persistent link: https://www.econbiz.de/10009320681