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Forecasting in Factor Augmented Regressions under Structural Change

Massacci, Daniele; Kapetanios, George - 2021

Factor augmented regressions are widely used to produce out-of-sample forecasts of macroeconomic and financial time series. However, these series are subject to occasional breaks. We study the effect of neglected structural instability on the forecasts produced by factor augmented regressions...

Persistent link: https://www.econbiz.de/10013322730

Stock Returns Predictability with Unstable Predictors

Calonaci, Fabio; Kapetanios, George; Price, Simon - 2022

We re-examine predictability of US stock returns. Theoretically well-founded models predict that stationary combinations of I (1) variables such as the dividend or earnings to price ratios or the consumption/asset/income relationship often known as CAY may predict returns. However, there is...

Persistent link: https://www.econbiz.de/10013308248

Forecasting UK GDP growth with large survey panels

Anesti, Nikoleta; Kalamara, Eleni; Kapetanios, George - 2021

By employing large panels of survey data for the UK economy, we aim at reviewing linear approaches for regularisation and dimension reduction combined with techniques from the machine learning literature, like Random Forests, Support Vector Regressions and Neural Networks for forecasting GDP...

Persistent link: https://www.econbiz.de/10013226235

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2021

Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10013316380

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying inﬂation to formulate monetary policy and assist in forecasting observed inﬂation. Recent … measures of underlying inﬂation built from more traditional methods. The power to forecast headline inﬂation over horizons of …

Persistent link: https://www.econbiz.de/10009639462

A nonlinear panel data model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - In: Journal of Econometrics 179 (2014) 2, pp. 134-157

This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s distinguishing characteristic is that a given agent’s behaviour is influenced by an aggregation of the views or actions of those around...

Persistent link: https://www.econbiz.de/10011052336

A Nonlinear Panel Data Model of Cross-Sectional Dependence

Mitchell, James; Kapetanios, George; Shin, Yongcheol - Department of Economics, Leicester University - 2012

This paper proposes a nonlinear panel data model which can generate endogenously both `weak' and `strong' cross-sectional dependence. The model's distinguishing characteristic is that a given agent's behaviour is influenced by an aggregation of the views or actions of those around them. The...

Persistent link: https://www.econbiz.de/10009647759

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...

Persistent link: https://www.econbiz.de/10011604448

The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics

Tsoukis, Chris; Kapetanios, George; Pearlman, Joseph - School of Economics and Finance, Queen Mary - 2007

We review the main New Keynesian inflation equations that have arisen as a result of aggregation from individual firms …' price rigidities. We find that, on the whole, they cannot account for inflation persistence, a key feature of the empirical … dynamics of inflation, and with important policy implications. The only exception seems to be when price stickiness is combined …

Persistent link: https://www.econbiz.de/10005106414

State-level wage Phillips curves

Kapetanios, George - 2020

Two reduced-form versions of New Keynesian wage Phillips curves based on either sticky nominal wages or real-wage rigidity using monthly US state-level data for the period 1982-2016 are examined, taking account of the endogeneity of unemployment by instrumentation and the use of common...

Persistent link: https://www.econbiz.de/10012841943