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Forecasting with instabilities : an application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial frictions for the US economy. Over the forecast period...
Persistent link: https://www.econbiz.de/10011349997
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010465155
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the...
Persistent link: https://www.econbiz.de/10010339762
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation
Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018
vector can be recovered from the BVAR posterior estimates: a new 'quasi-Bayesian' DSGE estimation. An empirical application …
Persistent link: https://www.econbiz.de/10011886093
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A Bayesian Approach to Inference on Probabilistic Surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...
Persistent link: https://www.econbiz.de/10014080529
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A Bayesian approach for inference on probabilistic surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...
Persistent link: https://www.econbiz.de/10013336345
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …
Persistent link: https://www.econbiz.de/10010259626
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …
Persistent link: https://www.econbiz.de/10011505854
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Inference in vector autoregressive models with an informative prior on the steady state
Villani, Mattias - 2005
Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...
Persistent link: https://www.econbiz.de/10011585058