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encompasses a general unrestricted model and it forecast encompasses the competitors when tested on 20 quarters of one step ahead …
Persistent link: https://www.econbiz.de/10009636545
Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the … series models and distinguishes between different forecast horizons, HICP components and inflation measures. Various … indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inflation twelve months …
Persistent link: https://www.econbiz.de/10009635954
that the cyclical position and the form of fiscal governance are major determinants of forecast biases. Projected changes …
Persistent link: https://www.econbiz.de/10009636530
analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if …
Persistent link: https://www.econbiz.de/10009635953
error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information … the true out-of-sample PMSE, allowing for possible misspecification of the forecast models under consideration. We first …
Persistent link: https://www.econbiz.de/10009639853
This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...
Persistent link: https://www.econbiz.de/10009639854
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...
Persistent link: https://www.econbiz.de/10009640464
quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10009640913
Persistent link: https://www.econbiz.de/10009641224
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