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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

Analysis of financial data

Koop, Gary - 2006

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

Reconciled estimates of monthly GDP in the US

Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - 2022

Persistent link: https://www.econbiz.de/10012822269

Nowcasting "true" monthly U.S. GDP during the pandemic

Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - In: National Institute economic review : journal of the … 256 (2021), pp. 44-70

Persistent link: https://www.econbiz.de/10012593671

Reconciled estimates of monthly GDP in the United States

Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 563-577

Persistent link: https://www.econbiz.de/10014448358

Reconciled Estimates of Monthly GDP in the US

Koop, Gary; McIntyre, Stuart G.; Mitchell, James; Poon, … - 2022

In the US, income and expenditure-side estimates of GDP (GDPI and GDPE) measure "true" GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide...

Persistent link: https://www.econbiz.de/10013308569

Nowcasting ‘True’ Monthly US GDP During the Pandemic

Koop, Gary; McIntyre, Stuart G.; Mitchell, James; Poon, … - 2021

. We also investigate the performance of conditional forecasting, where we estimate our models using data through 2019 and …

Persistent link: https://www.econbiz.de/10013249740

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

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

A new index of financial conditions

Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013

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/10010678559