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Forecasting in a Changing World : from the Great Recession to the COVID-19 Pandemic
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...
Persistent link: https://www.econbiz.de/10013250990
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Examining the impact of macro-economic conditions on income inequality
Jäntti, Markus; Jenkins, Stephen - 2001
distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment …
Persistent link: https://www.econbiz.de/10011403817
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Impact of globalization on macroeconomic dynamics using a time-varying Bayesian VAR
Pleșa, Georgiana - In: Prague economic papers : a bimonthly journal of … 33 (2024) 4, pp. 380-413
In the last two decades, advances in globalization have evolved remarkably and countries have become more integrated … with the entire world. The implications of this process have attracted interest of researchers and monetary policy … authorities. This paper provides an assessment of the impact of globalization on macroeconomic dynamics at the level of four …
Persistent link: https://www.econbiz.de/10015073328
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Examining the Impact of Macro-Economic Conditions on Income Inequality
Jantti, Markus; Jenkins, Stephen P. - 2021
distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment …
Persistent link: https://www.econbiz.de/10013320791
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Examining the impact of macro-economic conditions on income inequality
Jäntti, Markus; Jenkins, Stephen - 2001
distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment …
Persistent link: https://www.econbiz.de/10001635474
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Clustering Macroeconomic Variables
Perricone, Chiara - 2014
.S. after War World II. This procedure displays some advantages; in particular it does not require a strong ex ante structure in …
Persistent link: https://www.econbiz.de/10013063736
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - 2011
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic "indicators" is...
Persistent link: https://www.econbiz.de/10009130538
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Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output
Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.
In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...
Persistent link: https://www.econbiz.de/10009130740
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Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
Armah, Nii Ayi C.; Swanson, Norman R. - 2007
In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...
Persistent link: https://www.econbiz.de/10014052483
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Should gold be held under global economic policy uncertainty?
Qin, Meng; Su, Chi-Wei; Xiao, Yi-Dong; Zhang, Shuai - In: Journal of business economics and management 21 (2020) 3, pp. 725-742
This paper investigates the ability of gold to hedge worldwide risks from the perspective of global economic policy uncertainty (GEPU). By applying the full- and sub-sample rolling-window bootstrap causality tests to analyze the dynamic interaction between GEPU and gold price (GP). It can be...
Persistent link: https://www.econbiz.de/10012270374