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Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10011604746

Short-term Covid-19 forecast for latecomers

Medeiros, Marcelo C.; Street, Alexandre; Valladão, Davi; … - 2021

tracking the number of cases in those countries, we forecast through an adaptive rolling-window scheme the number of cases and …

Persistent link: https://www.econbiz.de/10012817060

A Note on Updating Forecasts When New Information Arrives between Two Periods

Chen, Pu - 2009

model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new …

Persistent link: https://www.econbiz.de/10010298603

Seeing inside the black box: Using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - 2011

In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We...

Persistent link: https://www.econbiz.de/10010282831

Diffusion index models and index proxies: Recent results and new directions

Armah, Nii Ayi; Swanson, Norman - 2011

Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common...

Persistent link: https://www.econbiz.de/10010282837

Some variables are more worthy than others: New diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman - 2011

Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic indicators is...

Persistent link: https://www.econbiz.de/10010282848

Survey of models on demand, customer base-line and demand response and their relationships in the power market

Heshmati, Almas - 2012

The increasing use of demand-side management as a tool to reliably meet electricity demand at peak time has stimulated interest among researchers, consumers and producer organizations, managers, regulators and policymakers, This research reviews the growing literature on models used to study...

Persistent link: https://www.econbiz.de/10010284018

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy … of the aggregate forecast of euro area and US inflation in some situations, but not in others. …

Persistent link: https://www.econbiz.de/10011604635

Dynamic prediction pools: An investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

Persistent link: https://www.econbiz.de/10011340986

On economic evaluation of directional forecasts

Blaskowitz, Oliver J.; Herwartz, Helmut - 2009

directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. …

Persistent link: https://www.econbiz.de/10010271901

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