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Nowcasting employment in the euro area
Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023
performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates …
Persistent link: https://www.econbiz.de/10014315194
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DSGE model forecasting : rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
Persistent link: https://www.econbiz.de/10013492913
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The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models
Darracq Pariès, Matthieu; Maurin, Laurent - 2008
forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …
Persistent link: https://www.econbiz.de/10011604940
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Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data
Bańbura, Marta; Modugno, Michele - 2010
In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...
Persistent link: https://www.econbiz.de/10011605235
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A First Look on the New Halle Economic Projection Model
Giesen, Sebastian; Holtemöller, Oliver; Scharff, Juliane; … - 2010
In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model - the Halle Economic Projection Model (HEPM) - is closely related to studies recently published...
Persistent link: https://www.econbiz.de/10010271586
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Forecasting euro area inflation using targeted predictors : is money coming back?
Falagiarda, Matteo; Sousa, João - 2017
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
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The role of targeted predictors for nowcasting GDP with bridge models : application to the euro area
Kitlinski, Tobias; Meulen, Philipp an de - 2015
- and hard-threshold algorithms improves the forecasting performance, especially during periods of economic crisis. While a … effect on forecasting performance, all the more, if the set of indicators becomes unbalanced. …
Persistent link: https://www.econbiz.de/10010532088
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ALICE : a new inflation monitoring tool
Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018
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
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Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?
Berg, Tim Oliver; Henzel, Steffen - 2013
Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....
Persistent link: https://www.econbiz.de/10010342246
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Point and density forecasts for the euro area using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - 2014
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