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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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Forecasting Economic Aggregates by Disaggregates
Hendry, David F; Hubrich, Kirstin - C.E.P.R. Discussion Papers - 2006
We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in...
Persistent link: https://www.econbiz.de/10005123796
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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - European Central Bank - 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/10005530754
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Há fundamentalidade nos modelos de VAR fiscal típicos para o Brasil?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2020
The vector autoregressive and structural vector autoregressive (VAR/SVAR) models are the cornerstone of the … (DSGE) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies … the Fabio Canova e Mehdi Hamidi Sahneh, in order to test for these pathologies in Brazilian typical fiscal VAR model using …
Persistent link: https://www.econbiz.de/10012616454
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Antecipação fiscal, não fundamentalidade e não causalidade no Brasil
Borelli, Luan; Vonbun, Christian; Góes, Geraldo Sandoval - 2021
estimate a non causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data … determination of the effects fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular … causal VAR for that dataset. …
Persistent link: https://www.econbiz.de/10012802817
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Antecipação fiscal, não fundamentalidade e não causalidade no Brasil
Borelli, Luan; Vonbun, Christian; Góes, Geraldo Sandoval - 2021
causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data found to be non … fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular causal VAR for that …
Persistent link: https://www.econbiz.de/10012656123
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Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …
Persistent link: https://www.econbiz.de/10012486165
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Há fundamentalidade nos modelos de VAR fiscal típicos para o Brasil?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2020
The vector autoregressive and structural vector autoregressive (VAR/SVAR) models are the cornerstone of the … (DSGE) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies … the Fabio Canova e Mehdi Hamidi Sahneh, in order to test for these pathologies in Brazilian typical fiscal VAR model using …
Persistent link: https://www.econbiz.de/10012208507
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Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?
Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the … General Equilibrium) models - the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to …
Persistent link: https://www.econbiz.de/10012671221
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Short and long run causality measures: theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …
Persistent link: https://www.econbiz.de/10005111024