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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
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Forecasting inflation in Mongolia : a dynamic model averaging approach
Doojav, Gan-Ochir; Luvsannyam, Davaajargal - In: Journal of time series econometrics 15 (2023) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10014288359
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Forecasting with the standardized self-perturbed Kalman filter
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010402289
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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10012433963
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Selective attention in exchange rate forecasting
Kapounek, Svatopluk; Kučerová, Zusana; Kočenda, Evžen - 2020
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …
Persistent link: https://www.econbiz.de/10012320114
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Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
Berg, Tim Oliver - 2015
This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...
Persistent link: https://www.econbiz.de/10011306293
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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
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Gold price forecasts in a dynamic model averaging framework : have the determinants changed over time?
Baur, Dirk G.; Beckmann, Joscha; Czudaj, Robert - 2014
, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …
Persistent link: https://www.econbiz.de/10010417235
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172