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On the Comparison of Interval Forecasts
Askanazi, Ross - 2018
We explore interval forecast comparison when the nominal confidence level is specified, but the quantiles on which … forecast comparison fail them. Our negative results strengthen the case for abandoning interval forecasts in favor of density …
Persistent link: https://www.econbiz.de/10012913460
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2016
Persistent link: https://www.econbiz.de/10011545886
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DSGE model-based forecasting
Del Negro, Marco; Schorfheide, Frank - 2013
Persistent link: https://www.econbiz.de/10011506990
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...
Persistent link: https://www.econbiz.de/10012038824
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On the comparison of interval forecasts
Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank; … - 2018
Persistent link: https://www.econbiz.de/10012000599
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
Persistent link: https://www.econbiz.de/10012064996
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Real-time forecasting with a mixed-frequency VAR
Schorfheide, Frank; Song, Dongho - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 366-380
Persistent link: https://www.econbiz.de/10011390382
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Improving GDP measurement : a measurement-error perspective
Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397
Persistent link: https://www.econbiz.de/10011610607
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
Persistent link: https://www.econbiz.de/10010418097
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - 2019 - This version: December 10, 2019
Persistent link: https://www.econbiz.de/10012223913