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Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

Bayesian estimation of the long-run trend of the US economy

Kim, Jaeho; Chon, Sora - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 461-485

Persistent link: https://www.econbiz.de/10012819475

Are long-run output growth rates falling?

Li, Mengheng; Mendieta-Muñoz, Ivan - 2018

-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

Persistent link: https://www.econbiz.de/10011823990

Estimating growth at risk with skewed stochastic volatility models

Wolf, Elias - 2022

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …

Persistent link: https://www.econbiz.de/10012807854

Growth Effects in a Stochastic Model of Currency Crisis

Shankar, Rashmi - 2008

The main contributions of this paper are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy. The conclusion is that expected deviations from trend in the...

Persistent link: https://www.econbiz.de/10014123866