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Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10003825870
MDS approach. In a forecasting exercise the MDS model compares favorably to the Bernoulli model for one quarter and one … year ahead inflation. In addition, it turns out that the performance of MDS model forecasting is competitive in comparison … with other models found to be useful in the inflation forecasting literature. …
Persistent link: https://www.econbiz.de/10011720713
particular parameter uncertainty is important for long-run forecasts. This implies that hitherto existing forecasting methods …
Persistent link: https://www.econbiz.de/10003770767
in particular parameter uncertainty is important for long-run forecasts. This implies that existing forecasting methods …
Persistent link: https://www.econbiz.de/10003770768
develop a model for inflation forecasting that is nonparametric both in the conditional mean and in the error using Gaussian … of inflation. In a forecasting exercise involving CPI inflation, we find that our approach has substantial benefits, both …
Persistent link: https://www.econbiz.de/10013298371
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …
Persistent link: https://www.econbiz.de/10003963819
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...
Persistent link: https://www.econbiz.de/10003973538
Persistent link: https://www.econbiz.de/10009720780
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