We specify an empirical model of US inflation which has the dynamics of wage and price setting at its core. In the dynamic wage equation an equilibrium-correction term connects the wage level to industrial prosperity indicators. In that way, the role of wage setting in the dynamics of the...

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

We specify an empirical model of US inflation which has the dynamics of wage and price setting at its core. In the dynamic wage equation an equilibrium-correction term connects the wage level to industrial prosperity indicators. In that way, the role of wage setting in the dynamics of the...

This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1 to 1994:Q4; and then forecasts one-to-four quarters-ahead real house price...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard...

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard...

Based on a new concept called “Turning Period”, the goal of this report is to show how we can conduct the prediction for the outlook in the different stages for the battle with outbreak of COVID-19 currently in US, in particular, to identify when each of top 15 states in USA (basically on...

We evaluate the directional accuracy of the Institute for Supply Management indices to predict the US economy direction with a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test, we show that the Non-Manufacturing Index is a useful...

We evaluate the directional accuracy of Institute for Supply Management (ISM) indices in predicting the direction of the U.S. economy direction; to do so, we make use of a method developed by Pesaran and Timmermann (2009). By illustrating an application of the new market-timing test and...