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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
; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130538
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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 C. - 2013
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”...
Persistent link: https://www.econbiz.de/10013092865
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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 …-validation procedure. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting …
Persistent link: https://www.econbiz.de/10013250990
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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.
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …). -- block bootstrap ; forecasting ; recursive estimation scheme ; rolling estimation scheme ; model misspecification ; nonlinear …
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
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …
Persistent link: https://www.econbiz.de/10014052483
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A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...
Persistent link: https://www.econbiz.de/10011312197
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Essays on the large dimensional approximate dynamic factor model
Schmid, Frank - 2009
Persistent link: https://www.econbiz.de/10013436419
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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 (contributor); Swanson, Norman R. (contributor) - 2006
uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on …-sample estimation periods are ended any time during the 1980s, but less evidence during the 1970s. Furthermore, recursive estimation …
Persistent link: https://www.econbiz.de/10003698518
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The perils of counterfactual analysis with integrated processes
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016
Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the...
Persistent link: https://www.econbiz.de/10011579472
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Clustering Macroeconomic Variables
Perricone, Chiara - 2014
Many papers have highlighted that some macroeconomic time series present structural instability. The causes of these remarkable changes in the reduced form properties of the macroeconomy is a debated argument. In literature this issue is handled with three main econometric methodologies:...
Persistent link: https://www.econbiz.de/10013063736