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The Predictive Content of the Output Gap for Inflation : Resolving In-Sample and Out-of-Sample Evidence
Clark, Todd E.; McCracken, Michael W. - 2004
This paper sifts through explanations for the weakness of the out-of-sample evidence on the Phillips curve relative to the in-sample evidence, focusing on the output gap-based models. One explanation could be that, even when the model are stable, out-of-sample metrics are less powerful than...
Persistent link: https://www.econbiz.de/10014072757
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013187449
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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E. - 2017
We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple...
Persistent link: https://www.econbiz.de/10012944362
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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E. - 2017
We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple...
Persistent link: https://www.econbiz.de/10012946957
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013184356
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Can Out-of-Sample Forecast Comparisons Help Prevent Overfitting?
Clark, Todd E. - 2001
application, modeling quarterly U.S. inflation …
Persistent link: https://www.econbiz.de/10014130093
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The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
McCracken, Michael W.; Clark, Todd E. - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005132911
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A Bayesian Evaluation of Alternative Models of Trend Inflation
Clark, Todd E. - 2012
With the concept of trend inflation now widely understood as to be important as a measure of the public's perception of … the inflation goal of the central bank and important to the accuracy of longer-term inflation forecasts, this paper uses … Bayesian methods to assess alternative models of trend inflation. Reflecting models common in reduced-form inflation modeling …
Persistent link: https://www.econbiz.de/10013112644
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - Norges Bank - 2012
, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of …
Persistent link: https://www.econbiz.de/10010787777
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of …
Persistent link: https://www.econbiz.de/10012143797