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There is a debate in the literature on the best method to forecast an aggregate: (1) forecast the aggregate directly, (2) forecast the disaggregates and then aggregate, or (3) forecast the aggregate using disaggregate information. This paper contributes to this debate by suggesting that in the...
Persistent link: https://www.econbiz.de/10013051080
This paper provides out-of-sample forecasts of linear and non-linear models of US and Census regions housing prices. The forecasts include the traditional point forecasts, but also include interval and density forecasts of the housing price distributions. The non-linear smooth-transition...
Persistent link: https://www.econbiz.de/10013036560
This paper applies traditional approaches and mixed-data sampling (MIDAS) to explain and forecast velocity of broad money in the euro area and the United States. Our results show that despite financial innovations, over the last two decades broad money velocity followed a declining trend with...
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-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However …This paper is a response to the literature that tests for cointegration between national stock market indices. It … argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small …
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