In this paper, we conduct uniform inference of two widely used versions of the Phillips curve, specifically the random-walk Phillips curve and the New-Keynesian Phillips curve (NKPC). For both specifications, we propose a potentially time-varying natural unemployment (NAIRU) to address the...

In this paper, we compare two fundamentally different judgmental demand forecasting approaches used to estimate demand and their corresponding demand distributions. In the first approach, parameters are obtained from a linear regression and maximum likelihood estimation (MLE) based on team...

The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...

This paper examines whether the preliminary releases of GDP incorporate efficiently all available information or whether the preliminary estimates contain information that can be useful in predicting forthcoming GDP data revisions. Forecast rationality tests are applied to distinguish between...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

We develop a forecasting method for the manufacturer and online seller of a product collection that changes periodically and radically. The firm, an industry leader in technology and quality, has experienced double-digit annual sales growth. In seeking to minimize supply-demand mismatch costs...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

The movements in oil prices are very complex and, therefore, seem to be unpredictable. However, one of the main challenges facing econometric models is to forecast such seemingly unpredictable economic series. Traditional linear structural models have not been promising when used for oil price...

The limit distribution of conventional test statistics for predictability may depend on the degree of persistence of the predictors. Therefore, diverging results and conclusions may arise because of the different asymptotic theories adopted. Using differencing transformations, we introduce a new...