Showing 1 - 10 of 4,516
In short-term forecasting, it is essential to take into account all available information on the current state of the … cross-validation procedure that allows automatic in-sample selection based on recent forecasting performances. Then the … developed techniques are assessed with regards to their forecasting power of US economic growth during the period 2000 …
Persistent link: https://www.econbiz.de/10010961062
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …
Persistent link: https://www.econbiz.de/10011307783
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed …-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves predictive accuracy upon a … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …
Persistent link: https://www.econbiz.de/10011268409
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …
Persistent link: https://www.econbiz.de/10011252625
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …
Persistent link: https://www.econbiz.de/10010508351
This study evaluates forecasting performance of a large-scale factor model developed in Siliverstovs and Kholodilin … (2012) in a genuine ex ante forecasting exercise. We perform our forecast of GDP growth in Switzerland in real time using …
Persistent link: https://www.econbiz.de/10010319722
methodological contributions, especially with regard to economic forecasting. …
Persistent link: https://www.econbiz.de/10012157628
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10010277729
This paper estimates and forecasts U.S. business cycle turning points with state-level data. The probabilities of recession are obtained from univariate and multivariate regime-switching models based on a pairwise combination of national and state-level data. We use two classes of combination...
Persistent link: https://www.econbiz.de/10011111725
This paper proposes a new approach for nowcasting as yet unavailable GDP growth by estimating monthly GDP growth with a … more precise estimates of recent GDP growth at an earlier stage of nowcasting than the nowcasts of professional forecasters. …
Persistent link: https://www.econbiz.de/10010894615