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Classical time-varying FAVAR models : estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long …
Persistent link: https://www.econbiz.de/10008936114
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … 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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Real time estimates of the euro area output gap
Marcellino, Massimiliano; Musso, Alberto - 2010
higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …
Persistent link: https://www.econbiz.de/10009640402
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Regional inflation dynamics within and across euro area countries and a comparison with the US
Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2006
We investigate co-movements and heterogeneity in inflation dynamics of different regions within and across euro area … countries using a novel disaggregate dataset to improve the understanding of inflation differentials in the European Monetary … Union. We employ a model where regional inflation dynamics are explained by common euro area and country specific factors as …
Persistent link: https://www.econbiz.de/10011604727
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Real time estimates of the euro area output gap: reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …
Persistent link: https://www.econbiz.de/10011605203
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Regional inflation dynamics within and across euro area countries and a comparison with the US
Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2006
We investigate co-movements and heterogeneity in inflation dynamics of different regions within and across euro area … countries using a novel disaggregate dataset to improve the understanding of inflation differentials in the European Monetary … Union. We employ a model where regional inflation dynamics are explained by common euro area and country specific factors as …
Persistent link: https://www.econbiz.de/10010298350
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Real time estimates of the euro area output gap : reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and … measure appears superior to all others in all respects. - Output gap ; real-time data ; euro area ; inflation forecasts ; real …
Persistent link: https://www.econbiz.de/10003971060
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Macroeconomic forecasting in a multi-country context
Bai, Yu; Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022
Persistent link: https://www.econbiz.de/10012806332
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2011
Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically...
Persistent link: https://www.econbiz.de/10009490826