Showing 1 - 10 of 21,470
We propose simulation-based forecasting methods for the noncausal vector autoregressive model proposed by Lanne and … simulation procedures. Simulation experiments demonstrate that gains in forecasting accuracy are achieved by using the correct … of U.S. inflation and marginal cost turns out superior to the best-fitting conventional causal VAR model in forecasting …
Persistent link: https://www.econbiz.de/10010818995
Simulation-based forecasting methods for a non-Gaussian noncausal vector autoregressive (VAR) model are proposed. In … out superior to the best-fitting conventional causal VAR model in forecasting inflation. … analytical solution is unfeasible and, therefore, simulation or numerical methods are required in computing forecasts. It turns …
Persistent link: https://www.econbiz.de/10010776994
In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is … report on the forecasting performance of the different prior distributions considered in the paper. …
Persistent link: https://www.econbiz.de/10005649366
In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models …
Persistent link: https://www.econbiz.de/10011251893
This paper surveys the recent literature on inflation forecasting and conducts an extensive empirical analysis on … forecasting inflation in Singapore, Japan, South Korea and Hong Kong paying particular attention to whether the inflation …-markup theory can help to forecast inflation. We first review the relative performance of different predictors in forecasting h …
Persistent link: https://www.econbiz.de/10009650016
Michigan Surveys of Consumers. While these measures have been useful in developing models of forecasting inflation, the data …I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused …
Persistent link: https://www.econbiz.de/10009650037
This paper reports results from a forecasting study for inflation, industrial output and exchange rates for India. We … and our analysis is based on linear models, ARIMA and bivariate transfer functions and restricted VAR. Forecasting … overall results tend to support the use of a restricted VAR, as this model had the best forecasting performance more …
Persistent link: https://www.econbiz.de/10005582750
In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the …, which should be manifested, possibly with a lag, in both producer and consumer prices. We build a forecasting model based on … a two or three equation system involving CPI and PPI inflation where the effects of the exchange rate and import prices …
Persistent link: https://www.econbiz.de/10005702549
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10010678559
Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...
Persistent link: https://www.econbiz.de/10011214021