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Evaluating Conditional Forecasts from Vector Autoregressions
Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2014
on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on …, unemployment, and inflation from a VAR, based on conditions on the short-term interest rate. Throughout the analysis, we focus on …
Persistent link: https://www.econbiz.de/10010938567
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Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2017 - This draft: August 31, 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/10011780949
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Averaging Forecasts from Vars with Uncertain Instabilities
Clark, Todd E. - 2013
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of … 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/10012711597
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No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea - 2020
. Instead, the cross-equation no-arbitrage restrictions on the factor loadings play a marginal role in producing forecasting …
Persistent link: https://www.econbiz.de/10012822660
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Evaluating Conditional Forecasts from Vector Autoregressions
Clark, Todd E. - 2014
on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on …, unemployment, and inflation from a VAR, based on conditions on the short-term interest rate. Throughout the analysis, we focus on …
Persistent link: https://www.econbiz.de/10013046359
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Evaluating the Accuracy of Forecasts from Vector Autoregressions
Clark, Todd E. - 2013
This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...
Persistent link: https://www.econbiz.de/10013086000
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Real-Time Density Forecasts from VARs with Stochastic Volatility
Clark, Todd E. - 2013
density forecasting. Accordingly, this paper examines, with real-time data, density forecasts of U.S. GDP growth, unemployment …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …
Persistent link: https://www.econbiz.de/10013095864
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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E. - 2019
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/10013210484
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Tail Forecasting with Multivariate Bayesian Additive Regression Trees
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021
forecasting performance of the various models for a set of US macroeconomic and financial indicators. Our results suggest that …
Persistent link: https://www.econbiz.de/10013238045
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Have standard VARs remained stable since the crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …
Persistent link: https://www.econbiz.de/10010905649