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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
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DSGE Model-Based Forecasting of Non-modelled Variables
Schorfheide, Frank - 2009
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10012463776
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2020
Persistent link: https://www.econbiz.de/10012388566
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Improving GDP measurement : a measurement-error perspective
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397
Persistent link: https://www.econbiz.de/10011610607
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
Persistent link: https://www.econbiz.de/10012064996
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Assessing DSGE model nonlinearities
Aruoba, S. Borağan; Bocola, Luigi; Schorfheide, Frank - In: Journal of economic dynamics & control 83 (2017), pp. 34-54
Persistent link: https://www.econbiz.de/10011915578
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - In: The econometrics journal 24 (2021) 1, pp. C33-C58
Persistent link: https://www.econbiz.de/10012504440
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10012458363
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Improving GDP Measurement : A Forecast Combination Perspective
Aruoba, S. Boragan - 2011
Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...
Persistent link: https://www.econbiz.de/10012461237
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Improving GDP Measurement : A Forecast Combination Perspective
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011
Two often - divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior...
Persistent link: https://www.econbiz.de/10014177383