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Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models
Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - 2002
This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …
Persistent link: https://www.econbiz.de/10010397390
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Conditional forecasts in dynamic multivariate models
Waggoner, Daniel F.; Zha, Tao - 1998
In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...
Persistent link: https://www.econbiz.de/10010397440
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Bayesian methods for dynamic multivariate models
Sims, Christopher A.; Zha, Tao - 1996
If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...
Persistent link: https://www.econbiz.de/10010397465
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Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models
Robertson, John C.; Tallman, Ellis W. - 1999
. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …
Persistent link: https://www.econbiz.de/10010397583
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How stable is the predictive power of the yield curve? Evidence from Germany and the United States
Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - 2000
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...
Persistent link: https://www.econbiz.de/10010283311
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A SHARP model of bid-ask spread forecasts
Cattivelli, Luca; Pirino, Davide - In: International journal of forecasting 35 (2019) 4, pp. 1211-1225
Persistent link: https://www.econbiz.de/10012305253
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Food Inflation in India: The Role for Monetary Policy
Anand, Rahul; Ding, Ding; Tulin, Volodymyr - International Monetary Fund (IMF) - 2014
Indian food and fuel inflation has remained high for several years, and second-round effects on core inflation are estimated to be large. This paper estimates the size of second-round effects using an estimated reduced-form general equilibrium model of the Indian economy, which incorporates...
Persistent link: https://www.econbiz.de/10010959475
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Inflation expectations in Spain: The Spanish PwC Survey
Ramos-Herrera, María del Carmen; Sosvilla-Rivero, Simón - In: Cuadernos de Economía - Spanish Journal of Economics … 36 (2013) 101, pp. 109-115
inflation rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9 months …
Persistent link: https://www.econbiz.de/10010929567
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A vector error correction forecasting model of the U.S. economy
Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - Federal Reserve Bank of St. Louis - 2001
stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is …
Persistent link: https://www.econbiz.de/10005360642
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Forecasting and modeling the U.S. economy in 1986-88
Roberds, William; Todd, Richard M. - In: Quarterly Review (1987) Win, pp. 7-20
Persistent link: https://www.econbiz.de/10005360913