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SVARs identification through bounds on the forecast error variance

Volpicella, Alessio - 2019

Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...

Persistent link: https://www.econbiz.de/10012037315

Modelling determinants of inflation in CESEE countries : global vector autoregressive approach

Jakši, Saša - In: Národohospodářský obzor : časopis věnovaný … 22 (2022) 2, pp. 137-169

Persistent link: https://www.econbiz.de/10013270502

Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors

Zhou, Weilun - 2020

This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...

Persistent link: https://www.econbiz.de/10012822931

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

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices : The Case of France

Kongsamut, Piyabha P. - 2018

How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP,...

Persistent link: https://www.econbiz.de/10012929939

Unusual shocks in our usual models

Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo - 2022

and apply it to study the macroeconomic effects of the Covid shock. The initial outbreak is represented as the onset of a … new shock process where the shock loads on wedges associated with the model's usual shocks. Realizations of the Covid … shock come with news about its propagation, allowing us to disentangle the role of beliefs about the future of the pandemic …

Persistent link: https://www.econbiz.de/10013375147

The elephant in the room : predictive performance of PLS models

Shmueli, Galit; Ray, Soumya; Velasquez Estrada, Juan Manuel - In: Journal of business research : JBR 69 (2016) 10, pp. 4552-4564

Persistent link: https://www.econbiz.de/10011554710

Assessing the predictive performance of structural equation model estimators

Evermann, Joerg; Tate, Mary - In: Journal of business research : JBR 69 (2016) 10, pp. 4565-4582

Persistent link: https://www.econbiz.de/10011554711

Estimating unattenuated correlations with limited information about selection variables : alternatives to case IV

Fife, Dunstin A.; Hunter, Michael D.; Mendoza, Jorge L. - In: Organizational research methods : ORM 19 (2016) 4, pp. 593-615

Persistent link: https://www.econbiz.de/10011584995

Predictive model assessment and selection in composite-based modeling using PLS-SEM : extensions and guidelines for using CVPAT

Sharma, Pratyush Nidhi; Liengaard, Benjamin Dybro; … - In: European journal of marketing 57 (2023) 6, pp. 1662-1677

Persistent link: https://www.econbiz.de/10014342089

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