Showing 1 - 10 of 37
This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …
Persistent link: https://www.econbiz.de/10005726664
Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible parametric model that accommodates virtually any of these specifications - and does so in a simple way that allows for straightforward Bayesian...
Persistent link: https://www.econbiz.de/10005420613
Many modeling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, for example, a threshold...
Persistent link: https://www.econbiz.de/10005420550
Persistent link: https://www.econbiz.de/10004845276
In their influential work on the consumption-wealth relationship, Lettau and Ludvigson found that while consumption responds to permanent changes in wealth in the expected manner, most changes in wealth are transitory with no effect on consumption. We investigate the robustness of these results...
Persistent link: https://www.econbiz.de/10005420623
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10011112017
approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise …
Persistent link: https://www.econbiz.de/10010826296
This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …
Persistent link: https://www.econbiz.de/10010877099
We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the...
Persistent link: https://www.econbiz.de/10011048625