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Forecasting in large macroeconomic panels using Bayesian Model Averaging

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2003

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

A flexible approach to parametric inference in nonlinear time series models

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2007

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

Are apparent findings of nonlinearity due to structural instability in economic time series?

Koop, Gary; Potter, Simon M. - Federal Reserve Bank of New York - 1999

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

Analysis of financial data

Koop, Gary - 2006

Persistent link: https://www.econbiz.de/10004845276

Reexamining the consumption-wealth relationship: the role of model uncertainty

Koop, Gary; Potter, Simon M.; Strachan, Rodney W. - Federal Reserve Bank of New York - 2005

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