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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists …": the large number of time series continuously released (Volume), the complexity of the data covering various sectors of the … and produce, in real time, accurate probabilistic predictions of US economic activity and, in addition, a meaningful …
Persistent link: https://www.econbiz.de/10012259379
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Residential Investment and Recession Predictability
Aastveit, Knut Are - 2017
employing real-time data …
Persistent link: https://www.econbiz.de/10012943241
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Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre; Leiva-Leon, Danilo - 2015
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes - Bayesian (static) model averaging and dynamic model averaging - so...
Persistent link: https://www.econbiz.de/10011285456
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Forecast errors and the macroeconomy : a non-linear relationship?
Fritsche, Ulrich; Döpke, Jörg - 2006 - This version: February 2006
The paper analyses reasons for departures from strong rationality of growth and inflation forecasts based on annual observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting institutions in Germany and argue that violations of the...
Persistent link: https://www.econbiz.de/10010426366
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Business tendency surveys and macroeconomic fluctuations
Kaufmann, Daniel; Scheufele, Rolf - 2015
We investigate the information content of business tendency surveys for key macroeconomic variables in Switzerland. To summarise the information of a large data set of sectoral business tendency surveys we extract a small number of common factors by a principal components estimator. The...
Persistent link: https://www.econbiz.de/10010508347
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Model Averaging in Markov-Switching Models : Predicting National Recessions with Regional Data
Guerin, Pierre - 2017
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In the empirical application, we forecast U.S. business cycle turning points with state-level employment data. We find that forecasts...
Persistent link: https://www.econbiz.de/10012950952
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Model Averaging in Markov-Switching Models : Predicting National Recessions with Regional Data
Guerin, Pierre - 2015
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging...
Persistent link: https://www.econbiz.de/10013011832
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Markov switching with endogenous number of regimes and leading indicators in a real-time business cycle forecast : conference paper
Theobald, Thomas - 2013
turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession … adjusting of the number of regimes on the real-time path, which both lead to higher forecast accuracy through the non … which are either normal or extraordinary, i.e. specifically determining as early as possible the point in time from which …
Persistent link: https://www.econbiz.de/10010339952
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Weather, the forgotten factor in business cycle analyses
Döhrn, Roland; Meulen, Philipp an de - 2015
In periods of unusual weather, forecasters face a problem of interpreting economic data: Which part goes back to the underlying economic trend and which part arises from a special weather effect? In this paper, we discuss ways to disentangle weather-related from business cycle-related influences...
Persistent link: https://www.econbiz.de/10010473134