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Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10011350384

The role of commodity prices in forecasting U.S. core inflation

Gospodinov, Nikolaj - 2016

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...

Persistent link: https://www.econbiz.de/10011428084

Why Has the U.S. Economy Stagnated Since the Great Recession?

Eo, Yunjong - 2020

Since the Great Recession in 2007-09, U.S. real GDP has failed to return to its previously projected path, a phenomenon widely associated with secular stagnation. We investigate whether this stagnation was due to hysteresis effects from the Great Recession, a persistent negative output gap...

Persistent link: https://www.econbiz.de/10012853370

Dynamic Factor Trees and Forests: A theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020

Factor Forests (DFF) for macroeconomic forecasting, which synthesize the recent machine learning, dynamic factor model and … proposed in Zeileis, Hothorn and Hornik (2008). DFTs and DFFs are non-linear and state-dependent forecasting models, which … powerful tree-based machine learning ensembles conditional on the state of the business cycle. The out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10012546027

Dynamic Factor Trees and Forests : a theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020 - This version: January 31, 2020

Persistent link: https://www.econbiz.de/10012172506

What is Keeping U.S. Core Inflation Low : Insights from a Bottom-Up Approach

Abdih, Yasser - 2016

factors predominantly drive core goods price changes. When comparing forecasting performance, we find that both the aggregate …

Persistent link: https://www.econbiz.de/10012977854

Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931

Ritschl, Albrecht; Sarferaz, Samad - 2010

This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...

Persistent link: https://www.econbiz.de/10003952982

Confidence and the Transmission of Macroeconomic Uncertainty in U.S. Recessions

Zhang, Fang - 2016

This paper studies the role of confidence in the transmission of uncertainty shocks during U.S. recessions. I use smooth-transition VAR to examine the regime-dependent effect of uncertainty shocks, and a counterfactual decomposition to isolate the role of confidence when the economy is in...

Persistent link: https://www.econbiz.de/10013002329

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail …

Persistent link: https://www.econbiz.de/10010339756

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Review of economic dynamics 24 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011847185