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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …
Persistent link: https://www.econbiz.de/10010512536
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021
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Macroeconomic forecasts in models with Bayesian averaging of classical estimates
Białowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - In: Contemporary economics 6 (2012) 1, pp. 60-69
The aim of this paper is to construct a forecasting model oriented on predicting basic macroeconomic variables, namely … procedure for selection of a final forecasting model. Verification of the procedure is performed by means of out …
Persistent link: https://www.econbiz.de/10009767634
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Dynamic Factor Models & Bayesian Averaging of Classical Estimates in Forecasting Macroeconomic Indicators with Application of Survey Data
Białowolski, Piotr - 2016
In this article we present four diversified approaches to forecasting main macroeconomic variables without a priori … the dynamic factor models (DFM) frameworks. With respect to the forecasting models based on BACE we propose two methods of …
Persistent link: https://www.econbiz.de/10013003903
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Business tendency surveys and macroeconomic fluctuations
Kaufmann, Daniel; Scheufele, Rolf - 2015
encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …
Persistent link: https://www.econbiz.de/10010508347
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Nowcasting the Maltese economy with a dynamic factor model
Ellul, Reuben; Ruisi, Germano - 2022
product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …
Persistent link: https://www.econbiz.de/10012818645
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EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro area and member countries
Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - 2014
The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic...
Persistent link: https://www.econbiz.de/10010402282
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Filtering German economic conditions from a large dataset : the new DIW economic barometer
Viefers, Paul; Fichtner, Ferdinand; Junker, Simon; … - 2014
This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new...
Persistent link: https://www.econbiz.de/10010417490
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Forecasting inflation with an uncertain output gap
Bjørnland, Hilde C.; Brubakk, Leif; Jore, Anne Sofie - 2006
The output gap (measuring the deviation of output from its potential) is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. The output gap is also an important variable in itself, as a measure of economic fluctuations. However, its definition...
Persistent link: https://www.econbiz.de/10010284323
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Constructing daily economic sentiment indices based on Google Trends
Eichenauer, Vera; Indergand, Ronald; Martínez, Isabel; … - 2020
Google Trends have become a popular data source for social science research. We show that for small countries or sub-national regions like U.S. states, underlying sampling noise in Google Trends can be substantial. The data may therefore be unreliable for time series analysis and is furthermore...
Persistent link: https://www.econbiz.de/10012239254