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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10010294000

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu; Warne, Anders; Woźniak, Tomasz - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

Persistent link: https://www.econbiz.de/10011605839

A hierarchical procedure for the combination of forecasts

Costantini, Mauro; Pappalardo, Carmine - 2009

This paper proposes a strategy to increase the efficiency of forecast combination. Given the availability of a wide range of forecasts for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, a hierarchical procedure based on an...

Persistent link: https://www.econbiz.de/10010293990

Tourism Forecasting: Accuracy of Alternative Econometric Models Revisited

Song, Haiyan; Smeral, Egon; Li, Gang; Chen, Jason L. - 2008

This study evaluates the forecasting accuracy of five alternative econometric models in the context of predicting the quarterly international tourism demand in 25 countries or country groupings. Tourism demand is measured in terms of tourist expenditure by inbound international visitors in a...

Persistent link: https://www.econbiz.de/10011435264

Combining forecasts based on multiple encompassing tests in a macroeconomic core system

Costantini, Mauro; Kunst, Robert M. - 2009

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information not...

Persistent link: https://www.econbiz.de/10010294025

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; van Dijk, Herman K. - 2008

volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be …

Persistent link: https://www.econbiz.de/10010325721

Measuring and Predicting Heterogeneous Recessions

Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...

Persistent link: https://www.econbiz.de/10010500207

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, Mohammad Hashem; Schleicher, Christoph; … - 2008

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 and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

Persistent link: https://www.econbiz.de/10010276219

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226

Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis

Marczak, Martyna; Gómez, Víctor - 2012

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and … Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the … cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the …

Persistent link: https://www.econbiz.de/10010309235

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