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Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

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/10013319014

Forecasting UK inflation bottom up

Joseph, Andreas; Kalamara, Eleni; Kapetanios, George; … - 2021

We forecast CPI inflation in the United Kingdom up to one year ahead using a large set of monthly disaggregated CPI … improvements in forecasting UK inflation against an autoregressive benchmark, above and beyond the gains from macroeconomic … divisions that consistently drive aggregate inflation forecasts across models and specifications, as well as to assess model …

Persistent link: https://www.econbiz.de/10013234829

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 - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometric 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/10003865998

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

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets : Forecasting the Industrial Production Growth for Euro Area Economies

Camba-Méndez, Gonzalo - 2015

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Persistent link: https://www.econbiz.de/10013025082

A state space approach to extracting the signal from uncertain data

Cunningham, Alastair; Eklund, Jana; Jeffery, Chris; … - 2009

Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...

Persistent link: https://www.econbiz.de/10010280737

Forecasting with measurement errors in dynamic models

Harrison, Richard T.; Kapetanios, George - 2004

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations...

Persistent link: https://www.econbiz.de/10010284100

Estimating time-variation in measurement error from data revisions: An application to forecasting in dynamic models

Kapetanios, George; Yates, Anthony - 2004

Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of...

Persistent link: https://www.econbiz.de/10010284141

Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models

Dias, Gustavo Fruet; Kapetanios, George - School of Economics and Management, University of Aarhus - 2014

We address the issue of modelling and forecasting macroeconomic variables using medium and large datasets, by adopting VARMA models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (IOLS) estimator. We establish the...

Persistent link: https://www.econbiz.de/10010940885

Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models

Kapetanios, George; Yates, Tony - School of Economics and Finance, Queen Mary - 2004

Persistent link: https://www.econbiz.de/10005106334