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; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10011305389
In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by professional forecasters we regress...
Persistent link: https://www.econbiz.de/10011305773
Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more...
Persistent link: https://www.econbiz.de/10011500399
The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...
Persistent link: https://www.econbiz.de/10013120226
Using the Box-Jenkins approach to forecast inflation in the small open economy, we find that ARIMA can partly show …
Persistent link: https://www.econbiz.de/10013121296
the exhaustive literature of forecast combinations and apply our newly developed combination method to test for the …
Persistent link: https://www.econbiz.de/10013124997
I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price …
Persistent link: https://www.econbiz.de/10013075304
forecasters is consistent with evidence on mean forecast errors. We find considerable evidence of inflation-gap persistence and …
Persistent link: https://www.econbiz.de/10013076654
Measuring economic activity in real-time is a crucial issue in applied research and in the decision-making process of policy makers; however, it also poses intricate challenges to statistical filtering methods that are built to operate optimally under the auspices of an infinite number of...
Persistent link: https://www.econbiz.de/10013050921