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Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte
Kholodilin, Konstantin A.; Kooths, Stefan - In: DIW Wochenbericht 76 (2009) 21, pp. 348-354
Die aktuelle Wirtschaftskrise wirft die Frage auf, ob nicht durch eine bessere Ausschöpfung der in den verschiedenen Frühindikatoren enthaltenen Informationen die aufgetretenen Prognosefehler hätten vermieden werden können. Dies gilt insbesondere vor dem Hintergrund des überraschend...
Persistent link: https://www.econbiz.de/10011602002
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Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
Audrino, Francesco - School of Economics and Political Science, Universität … - 2011
We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...
Persistent link: https://www.econbiz.de/10009003405
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Nowcasting GDP in Real-Time: A Density Combination Approach
Jore, Anne Sofie; Thorsrud, Leif Anders; Aastveit, Knut Are - Centre for Applied Macro- and Petroleum economics … - 2011
In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...
Persistent link: https://www.econbiz.de/10010551362
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Using national payment system data to nowcast economic activity in Azerbaijan
Huseynov, Ilkin; Ramazanova, Nazrin; Valirzayev, Hikmat - 2022
nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10014374307
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A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010
nowcasting performance during a pronounced switch of business cycle phases due to the latest recession. We compare the factor … models' nowcasting performance to a random walk, autoregressive and the best-performing nowcasting models at our hands, which … improve upon the nowcasting performance of the VAR models when the model span and the nowcasting period stretch beyond a …
Persistent link: https://www.econbiz.de/10008470462
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Nowcasting GDP in Real-Time: A Density Combination Approach
Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; … - 2011
In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...
Persistent link: https://www.econbiz.de/10012143776
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Short-Term Forecasting of GDP and Inflation in Real-Time: Norges Bank's System for Averaging Models
Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie - 2011
In this paper we describe Norges Bank's system for averaging models (SAM) which produces model-based density forecasts for Norwegian Mainland GDP and inflation. We combine the forecasts from three main types of models typically used at central banks: Vector autoregressive models, leading...
Persistent link: https://www.econbiz.de/10012144014
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Using national payment system data to nowcast economic activity in Azerbaijan
Huseynov, Ilkin; Ramazanova, Nazrin; Valirzayev, Hikmat - 2022
nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10013393564
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2012
nowcasting Euro area and US GDP using monthly indicators. …
Persistent link: https://www.econbiz.de/10011084496
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Density forecasts with MIDAS models
Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Centre for Applied Macro- and Petroleum economics … - 2014
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the...
Persistent link: https://www.econbiz.de/10010937989