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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
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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State-Observation Sampling and the Econometrics of Learning Models
Calvet, Laurent E. - 2013
In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments, such as the...
Persistent link: https://www.econbiz.de/10013093423
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Mauricio - 2018
During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...
Persistent link: https://www.econbiz.de/10011846246
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Forecasting European GDP using self-exciting threshold autoregressive models: A warning
Crespo-Cuaresma, Jesus - 2000
-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …
Persistent link: https://www.econbiz.de/10010292409
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …
Persistent link: https://www.econbiz.de/10012258549
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Priors for the long run
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2017
-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …
Persistent link: https://www.econbiz.de/10011754400
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Priors for the long run
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018
-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …
Persistent link: https://www.econbiz.de/10011802148