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Can Macroeconomists Get Rich Nowcasting Output Gap Turning Points with a Simple Machine-Learning Algorithm?

Raffinot, Thomas - 2017

To nowcast output gap turning points, probabilistic indicators are created from a simple and transparent machine-learning algorithm known as Learning Vector Quantization. The real-time ability of the indicators to quickly and accurately detect economic turning points in the United States and in...

Persistent link: https://www.econbiz.de/10012972314

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

Recessions as breadwinner for forecasters state-dependent evaluation of predictive ability : evidence from big macroeconomic US data

Siliverstovs, Boriss; Wochner, Daniel - 2019

This article re-examines the findings of Stock and Watson (2012b) who assessed the predictive performance of dynamic factor models (DFM) over autoregressive (AR) bench-marks for hundreds of target variables by focusing on possible business cycle performance asymmetries in the spirit of Chauvet...

Persistent link: https://www.econbiz.de/10012117679

A multi-country approach to analysing the euro area output gap

Huber, Florian; Piribauer, Philipp - 2018

We develop a multivariate dynamic factor model that exploits euro area country-specific information on output and inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for flexible stochastic volatility (SV) specifications for...

Persistent link: https://www.econbiz.de/10011806537

Quantifying priorities in business cycle reports : analysis of recurring textual patterns around peaks and troughs

Foltas, Alexander - 2023

I propose a novel approach to uncover business cycle reports' priorities and relate them to economic fluctuations. To this end, I leverage quantitative business-cycle forecasts published by leading German economic research institutes since 1970 to estimate the proportions of latent topics in...

Persistent link: https://www.econbiz.de/10014314180

Essays on the large dimensional approximate dynamic factor model

Schmid, Frank - 2009

Persistent link: https://www.econbiz.de/10013436419

Forecasting the term structure of crude oil futures prices with neural networks

Baruník, Jozef; Malinská, Barbora - 2015

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

Persistent link: https://www.econbiz.de/10011378719

The international business cycle and gold-price fluctuations

Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 292-305

Persistent link: https://www.econbiz.de/10010468016

Estimating nonlinear heterogeneous agents models with neural networks

Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models … predictions of the model. We leverage the recent advancements in machine learning to develop a solution and estimation method … method is much more efficient than existing global solution methods and that the estimation converges to the true parameter …

Persistent link: https://www.econbiz.de/10013257224

Dynamic Factor Trees and Forests : a theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020 - This version: January 31, 2020

theory (cf. e.g. Mukherjee, 2017; Veltri, 2017). This article proposes so-called Dynamic Factor Trees (DFT) and Dynamic … reduce to the standard Dynamic Factor Model (DFM) as a special case and allow us to embed theory-led factor models in …

Persistent link: https://www.econbiz.de/10012172506

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