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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10011604635
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Understanding and forecasting aggregate and disaggregate price dynamics
Bermingham, Colin; D'Agostino, Antonello - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …
Persistent link: https://www.econbiz.de/10009238003
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Understanding and Forecasting Aggregate and Disaggregate Price Dynamics
Bermingham, Colin - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …
Persistent link: https://www.econbiz.de/10013122152
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Forecasting Brazilian Inflation by Its Aggregate and Disaggregated Data : A Test of Predictive Power by Forecast Horizon
Carlos, Thiago - 2016
This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data from IPCA over twelve months ahead. We used IPCA in a monthly basis, over the period...
Persistent link: https://www.econbiz.de/10013007692
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Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
Hendry, David F. - 2010
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis-specification, estimation uncertainty and...
Persistent link: https://www.econbiz.de/10013147953
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To Aggregate or Not to Aggregate? Euro Area Inflation Forecasting
Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2021
of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro … the differences are only marginal for the countries. The aggregation of country forecasts does not seem to improve upon …
Persistent link: https://www.econbiz.de/10013319325
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Real-Time Estimation of the Output Gap in Japan and its Usefulness for Inflation Forecasting and Policymaking
Kamada, Koichiro - 2004
This paper examines the methods used by the Bank of Japan for the estimation of the output gap. Attention is paid to the real-time estimation problem. After reviewing the evolution of output gap estimation at the Bank, I discuss advantages and disadvantages of the various output gap measures....
Persistent link: https://www.econbiz.de/10010295641
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Do monetary indicators (still) predict euro area inflation?
Hofmann, Boris - 2006
This paper assesses the performance of monetary indicators in predicting euro area HICP inflation out-of-sample over the period since the start of EMU considering a wide range of forecasting models, including standard bivariate forecasting models, factor models, simple combination forecasts as...
Persistent link: https://www.econbiz.de/10010295806
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Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities
Scharnagl, Michael; Schumacher, Christian - 2007
This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...
Persistent link: https://www.econbiz.de/10010295846
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Does the financial market believe in the Phillips Curve? Evidence from the G7 countries
Fendel, Ralf; Lis, Eliza M.; Rülke, Jan-Christoph - 2008
This paper uses monthly survey data for the G7 countries for the time period 1989 - 2007 to explore the link between expectations on nominal wages, prices and unemployment rate as suggested by the traditional and Samuelson-and-Solow-type Phillips curve. Three major findings stand out: First, we...
Persistent link: https://www.econbiz.de/10010300140