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Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
Berg, Tim Oliver - 2015
This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...
Persistent link: https://www.econbiz.de/10011306293
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Point and density forecasts for the euro area using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010257225
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Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?
Berg, Tim Oliver; Henzel, Steffen - 2013
Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....
Persistent link: https://www.econbiz.de/10010342246
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Vector-Autoregression Approach to Forecast Italian Imports
Pappalardo, Carmine; Piras, Gianfranco - Istituto Nazionale di Statistica (ISTAT) - 2004
forecasting ability has been compared to that of a linear univariate benchmark (ARIMA) model. Main forecast diagnostics have been …
Persistent link: https://www.econbiz.de/10005449468
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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios
Flint, Emlyn James - 2017
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...
Persistent link: https://www.econbiz.de/10012952837
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Identification and Real-Time Forecasting of Norwegian Business Cycles
Aastveit, Knut Are - 2015
-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …
Persistent link: https://www.econbiz.de/10013021261
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Structural multi-equation macroeconomic models : identification-robust estimation and fit
Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - 2009
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. While the extensive econometric...
Persistent link: https://www.econbiz.de/10003852909
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Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their … leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this … forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany …
Persistent link: https://www.econbiz.de/10008807367