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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

van Dijk, Dick; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

Persistent link: https://www.econbiz.de/10010731787

Nowcasting made easier: A toolbox for economists

Linzenich, Jan; Meunier, Baptiste - 2024

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

Persistent link: https://www.econbiz.de/10015199442

Forecasting economic activity using a neural network in uncertain times: Monte Carlo evidence and application to the German GDP

Holtemöller, Oliver; Kozyrev, Boris - 2024

In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN …

Persistent link: https://www.econbiz.de/10014502562

A factor analysis for the Spanish economy

Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs - Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...

Persistent link: https://www.econbiz.de/10010317084

Predicting recessions with interest rate spreads: A multicountry regime-switching analysis

Ahrens, Ralf - 1999

forecasting ability of the spread. Klassifikation: …

Persistent link: https://www.econbiz.de/10010317406

Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …

Persistent link: https://www.econbiz.de/10010263654

Predicting inflation in Euroland: the Pstar approach

Scheide, Joachim; Trabandt, Mathias - 2000

Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...

Persistent link: https://www.econbiz.de/10010265458