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We summarize the literature on the effectiveness of combining forecasts by assessing the conditions under which combining is most valuable. Using data on the six U.S. Presidential elections from 1992 through 2012, we then report the reduction in error obtained by averaging forecasts within and...
Persistent link: https://www.econbiz.de/10014042972
This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables, xit, to their foreign counterparts,...
Persistent link: https://www.econbiz.de/10010276174
No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, "CEV") propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, this could help alleviate specification problems of SVARs in...
Persistent link: https://www.econbiz.de/10011430075
This note applies H-infinite methods to an estimated hybrid monetary policy model (cf. Sahuc, Applied Economics Letters, 9, pp. 949-55, 2002) and derives standard and robust optimal interest rate rules. We find that the "robust" central banker responds more aggressively than it does without...
Persistent link: https://www.econbiz.de/10014082051
Seemingly unrelated regression (SUR) models are useful in studying the interactions among different variables. In a high dimensional setting or when applied to large panel of time series, these models require a large number of parameters to be estimated and suffer of inferential problems.To...
Persistent link: https://www.econbiz.de/10012968298
This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15...
Persistent link: https://www.econbiz.de/10014024278
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10013052095
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10013054132
Building on Beaudry, Nam and Wang (2011) - hereafter BNW -, we use survey data on consumer sentiment in order to identify the causal effects of confidence shocks on real economic activity in a selection of advanced economies. Starting from a set of closed-economy VAR models, we show that these...
Persistent link: https://www.econbiz.de/10013055735