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pooling techniques, including Mallows model averaging and Cross-Validation model averaging, for short-term forecasting euro …
Persistent link: https://www.econbiz.de/10010472548
This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises …. Our main finding from a historical nowcasting simulation based on euro area GDP is that the predictive power of the survey …
Persistent link: https://www.econbiz.de/10011846875
We analyze the performance of a broad range of nowcasting and short-term forecasting models for a representative set of … indicators that come from a comparable set of identical data. We show that nowcasting works well for the new EU countries because … nowcasting is on average somewhat larger. …
Persistent link: https://www.econbiz.de/10012172202
-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo … estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP …
Persistent link: https://www.econbiz.de/10014249849
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010257225
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10010411883
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012299084
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...
Persistent link: https://www.econbiz.de/10012156473
relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …
Persistent link: https://www.econbiz.de/10011637074
the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …
Persistent link: https://www.econbiz.de/10011901421