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Consumer sentiment and household expenditure: reevaluating the forecasting equations

Ludvigson, Sydney - Federal Reserve Bank of New York - 1996

This paper reestimates the simple forecasting regressions in Carroll, Fuhrer, and Wilcox (1993) (CFW), which … inappropriate when variables lagged one period are used in the forecasting equation. I reestimate the forecasting regressions using … indicators as controls in the forecasting regression. These changes produce notable qualitative differences with the results …

Persistent link: https://www.econbiz.de/10005387367

Macroeconomic forecasts under the prism of error-correction models

Antzoulatos, Angelos A. - Federal Reserve Bank of New York - 1997

dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast … pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, Forecasting, Consumption …

Persistent link: https://www.econbiz.de/10005387394

A robust Hansen-Sargent prediction formula

Kasa, Kenneth - Federal Reserve Bank of San Francisco - 2000

This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new...

Persistent link: https://www.econbiz.de/10010702142

Approximation bias in linearized Euler equations

Ludvigson, Sydney; Paxson, Christina H. - Federal Reserve Bank of New York - 1997

This paper concerns pitfalls associated with the use of approximations to dynamic Euler equations. Two applications of the approximations are notable. First, tests for precautionary saving motives typically involve regressing consumption growth on uncertainty in expected consumption growth. The...

Persistent link: https://www.econbiz.de/10005717200