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Temporal consistency of forecasts and data releases
Bürgi, Constantin; Ortiz, Julio L - 2022
professional forecasters provide GDP forecasts that are temporally consistent, meaning that quarterly forecasts add up to the … estimates of information frictions in some cases. For the overwhelming majority of consistent forecasts, annual GDP predictions … almost immediately reflect the monthly GDP releases. These findings suggest that most forecasters make at least minor …
Persistent link: https://www.econbiz.de/10012816462
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10011937289
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10011792277
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Estimation and forecasting using mixed-frequency DSGE models
Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022
In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...
Persistent link: https://www.econbiz.de/10013465707
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Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - 2008
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10011604996
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Weather, the forgotten factor in business cycle analyses
Döhrn, Roland; Meulen, Philipp an de - 2015
opportunities to increase the accuracy of indicator-based forecasts. Focusing on quarterly GDP growth in Germany, we find that the …
Persistent link: https://www.econbiz.de/10010473134
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Too many cooks? : the German joint diagnosis and its production
Fritsche, Ulrich; Heilemann, Ullrich - 2010
The "Gemeinschaftsdiagnose" [Joint Diagnosis (JD)] is the most influential semi-annual macroeconomic forecast in Germany. Jointly produced by up to six institutes, its accuracy as well as the large number of involved participants is often criticised. This study examines the JD’s growth and...
Persistent link: https://www.econbiz.de/10010425226
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Forecasting inflation in Vietnam with univariate and vector autoregressive models
Tran Thanh Hoa - 2017
In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on...
Persistent link: https://www.econbiz.de/10011606109
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The macroeconomic projections of the German government : a comparison to an independent forecasting institution
Lehmann, Robert; Wollmershäuser, Timo - 2019
nominal GDP projections are upward biased for longer forecast horizons, which seems to be driven by a false assessment of the …
Persistent link: https://www.econbiz.de/10011958832
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Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany
Antzoulatos, Angelos A.; Wilfling, Bernd - 2003
identify economic variables that might help improve the OECD's forecasts for Germany's consumption and GDP growth. …
Persistent link: https://www.econbiz.de/10010295325