Showing 1 - 10 of 1,878
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. An out …
Persistent link: https://www.econbiz.de/10011268409
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A …
Persistent link: https://www.econbiz.de/10011252625
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A …
Persistent link: https://www.econbiz.de/10010508351
, MIxed DAta Sampling (MIDAS) models, mixed frequency VARs, and mixed frequency factor models. We also consider alternative …
Persistent link: https://www.econbiz.de/10012143818
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the...
Persistent link: https://www.econbiz.de/10009385759
In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...
Persistent link: https://www.econbiz.de/10015199487
VAR operates with artificial series obtained from a DSGE model. The results indicate that the out-of-sample forecasting … quantitative macroeconomics. However, DSGE models were not considered as a forecasting tool until very recently. The objective of … this paper is twofold. First, we compare the forecasting ability of a canonical DSGE model for the Spanish economy with …
Persistent link: https://www.econbiz.de/10010317125
estimate a non causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data … determination of the effects fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular … causal VAR for that dataset. …
Persistent link: https://www.econbiz.de/10012802817
notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …
Persistent link: https://www.econbiz.de/10012605254
several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and …
Persistent link: https://www.econbiz.de/10011189287