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Nowcasting GDP with a large factor model space

Eraslan, Sercan; Schröder, Maximilian - 2019

We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...

Persistent link: https://www.econbiz.de/10012119825

Forecasting inflation in Mongolia : a dynamic model averaging approach

Doojav, Gan-Ochir; Luvsannyam, Davaajargal - In: Journal of time series econometrics 15 (2023) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10014288359

Forecasting with the standardized self-perturbed Kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...

Persistent link: https://www.econbiz.de/10010402289

Gold price forecasts in a dynamic model averaging framework : have the determinants changed over time?

Baur, Dirk G.; Beckmann, Joscha; Czudaj, Robert - 2014

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

Persistent link: https://www.econbiz.de/10010417235

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

ALICE : a new inflation monitoring tool

Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018

the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

Persistent link: https://www.econbiz.de/10011901421

Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

Persistent link: https://www.econbiz.de/10010412361