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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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Inference for VARs identified with sign restrictions
Granziera, Eleonora; Moon, Hyungsik Roger; Schorfheide, … - In: Quantitative economics : QE ; journal of the … 9 (2018) 3, pp. 1087-1121
justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for sign … of frequentist and Bayesian coverage bands in the context of an empirical application—the former can be substantially …
Persistent link: https://www.econbiz.de/10011994575
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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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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
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Panel forecasts of country-level Covid-19 infections
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - 2020
Persistent link: https://www.econbiz.de/10012239137
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Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints
Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020
Persistent link: https://www.econbiz.de/10012229000
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - 2019
Persistent link: https://www.econbiz.de/10012172706
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - In: Journal of econometrics 192 (2016) 2, pp. 391-405
Persistent link: https://www.econbiz.de/10011704724