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predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …
Persistent link: https://www.econbiz.de/10011399325
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …
Persistent link: https://www.econbiz.de/10011604746
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …
Persistent link: https://www.econbiz.de/10010295821
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress … testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements … from the literature on the construction and implementation of conditional forecasts with the literature on forecasting …
Persistent link: https://www.econbiz.de/10012137102
In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...
Persistent link: https://www.econbiz.de/10011998061
We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...
Persistent link: https://www.econbiz.de/10012064875
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions - the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before...
Persistent link: https://www.econbiz.de/10011754390
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
When constructing unconditional point forecasts, both direct- and iterated-multistep (DMS and IMS) approaches are common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are far more common than simpler DMS models. This is despite...
Persistent link: https://www.econbiz.de/10011782870