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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are … inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance …
Persistent link: https://www.econbiz.de/10003962215
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No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea - 2020
vector autoregression of a panel of government bond yields, specifying a common time-varying volatility for the disturbances … structure of government bond yields, compared to a fully fledged term structure model with time-varying volatility and to a no …-change random walk forecast. Further analysis reveals that the approach might work better than an exact term structure model because …
Persistent link: https://www.econbiz.de/10012822660
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Selecting Predictors by Using Bayesian Model Averaging in Bridge Models
Bencivelli, Lorenzo - 2014
based bridge models produce smaller forecast error than fixed composition bridges. In an application to the euro area they …
Persistent link: https://www.econbiz.de/10013065340
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Path Forecast Evaluation
Jordà, Òscar; Marcellino, Massimiliano - 2014
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible … regions that adjust for any covariance between the elements of the path forecast. This paper shows how to construct such …
Persistent link: https://www.econbiz.de/10014216513
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Path forecast evaluation
Jordà, Òscar (contributor);  … - 2008
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible … regions that adjust for any covariance between the elements of the path forecast. This paper shows how to construct such … rate hikes in the U.S. macroeconomy. -- path forecast ; simultaneous confidence region ; error bands …
Persistent link: https://www.econbiz.de/10003805619
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Empirical Simultaneous Confidence Regions for Path-Forecasts
Jordà, Òscar - 2016
simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are …
Persistent link: https://www.econbiz.de/10012991097
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Empirical Simultaneous Confidence Regions for Path-Forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2015
simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are …
Persistent link: https://www.econbiz.de/10014035724
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are …
Persistent link: https://www.econbiz.de/10010300297
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Forecasting with Shadow-Rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021
Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...
Persistent link: https://www.econbiz.de/10013235487
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MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...
Persistent link: https://www.econbiz.de/10003815492