Narrow search
Showing 1 - 10 of 281
Cover Image
A multi-country approach to forecasting output growth using PMIs
Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem - 2014
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undeter-mined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
Persistent link: https://www.econbiz.de/10010438196
Cover Image
A Multi-Country Approach to Forecasting Output Growth Using PMIS
Chudik, Alexander - 2014
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undeter-mined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
Persistent link: https://www.econbiz.de/10013040008
Cover Image
A Multi-Country Approach to Forecasting Output Growth Using PMIs
Chudik, Alexander - 2015
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
Persistent link: https://www.econbiz.de/10013031735
Cover Image
A Multi-Country Approach to Forecasting Output Growth Using PMIs
Chudik, Alexander - 2015
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
Persistent link: https://www.econbiz.de/10013030534
Cover Image
High-dimensional forecasting with known knowns and known unknowns
Pesaran, M. Hashem; Smith, Ron - 2024
-dimensional setting with an application to forecasting UK inflation at different horizons over the period 2020q1-2023q1. This application …
Persistent link: https://www.econbiz.de/10014469011
Cover Image
Forecasting economic and financial variables with global VARs
Pesaran, M. Hashem (contributor);  … - 2008
-quarters-ahead forecasts of real output, inflation, real equity prices, exchange rates, and interest rates over the period 2004:Q1–2005:Q4 …, especially for output, inflation, and real equity prices. -- Forecasting using GVAR ; structural breaks and forecasting ; average …
Persistent link: https://www.econbiz.de/10003781456
Cover Image
Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
Cover Image
A VECX* Model of the Swiss Economy
Assenmacher, Katrin - 2009
This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a...
Persistent link: https://www.econbiz.de/10012766516
Cover Image
Assessing Forecast Uncertainties in a VECX Model for Switzerland : An Exercise in Forecast Combination Across Models and Observation Windows
Assenmacher, Katrin - 2009
We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....
Persistent link: https://www.econbiz.de/10012766904
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10013316571