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Skewed SVARS : tracking the structural sources of macroeconomic tail risks
Montes-Galdón, Carlos; Ortega, Eva - In: Essays in honour of Fabio Canova, (pp. 177-210). 2022
Persistent link: https://www.econbiz.de/10013445157
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Essays on forecasting stationary and nonstationary economic time series
Bachmeier, Lance J. - 2002
Persistent link: https://www.econbiz.de/10003774225
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Inspecting short- and long-term inflation expectations
Nikitina, Olena - In: Essays on fixed income and inflation forecasting, (pp. 42-79). 2015
Persistent link: https://www.econbiz.de/10011639454
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A Markov switching three regime model of Tunisian business cycle
Medhioub, Imed - In: Asian African journal of economics and econometrics 13 (2013) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10010353706
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Forecasting output gaps in the G-7 countries : the role of correlated innovations and structural breaks
Dungey, Mardi H.; Jacobs, Jan; Tian, Jing - In: Applied economics 49 (2017) 45, pp. 4554-4566
Persistent link: https://www.econbiz.de/10011844233
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Eliciting GDP forecasts from the FOMC's minutes around the financial crisis
Ericsson, Neil R. - In: International journal of forecasting 32 (2016) 2, pp. 571-583
Persistent link: https://www.econbiz.de/10011597221
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Forecasting business-cycle turning points with (relatively large) linear systems in real time : conference paper
Schreiber, Sven - 2013 - This preliminary version: March 2013
The detection of business-cycle turning points is usually performed with non-linear discrete-regime models such as binary dependent variable (e.g., probit or logit) or Markov-switching methods. The probit model has the drawback that the continuous underlying target variable is discretized, with...
Persistent link: https://www.econbiz.de/10010344635
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Applications of Logit and Fuzzy Regressions for the Prediction of Economic Recessions in US Economy
Giovanis, Eleftherios - 2010
In this paper we examine three binary regressions in order to predict the financial crisis or no crisis periods in USA … in the out-of sample period, which is defined the period 2006-2009. Next we repeat the estimation process for the period …
Persistent link: https://www.econbiz.de/10013138094
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. 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 … univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate …. Conversely, direct forecasts may dominate in the presence of dynamic model misspecification. Empirical analysis of the set of 170 …
Persistent link: https://www.econbiz.de/10003807908
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003851191