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News media vs. FRED-MD for macroeconomic forecasting

Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020

-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …

Persistent link: https://www.econbiz.de/10012417502

Covid-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting

Kaufmann, Sylvia - 2020

The number of employees historically filed and registered from January to April 2020 for short-time compensation is used to obtain a nowcast for GDP growth in the first quarter and an outlook until the third quarter 2021. We purge the monthly log level series from the systematic component to...

Persistent link: https://www.econbiz.de/10012224722

News media vs. FRED-MD for macroeconomic forecasting

Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020

-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …

Persistent link: https://www.econbiz.de/10012304069

Forecasting Macedonian GDP : evaluation of different models for short-term forecastin

Jovanovic, Branimir; Petrovska, Magdalena - Narodna Banka na Republika Makedonija - 2010

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …

Persistent link: https://www.econbiz.de/10011623268

Factor models for non-stationary series : estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

Persistent link: https://www.econbiz.de/10011669132

Forecast performance in the ECB SPF : ability or chance?

Meyler, Aidan - 2020

In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...

Persistent link: https://www.econbiz.de/10012156473

Should one follow movements in the oil price or in money supply? : forecasting quarterly GDP growth in Russia with higher-frequency indicators

Mikosch, Heiner; Solanko, Laura - 2018

GDP forecasters face tough choices over which leading indicators to follow and which forecasting models to use. To help …

Persistent link: https://www.econbiz.de/10011793839

Diffusion Indexes with Sparse Loadings

Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2013

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …

Persistent link: https://www.econbiz.de/10010851192

Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model

Meagher, G.A.; Pang, Felicity; Wilson, R.A. - Centre of Policy Studies and Impact Project (COPS), … - 2014

In recent years, a series of European labour market forecasts have been produced on behalf of, and have been published by, the European Centre for the Development of Vocational Training (CEDEFOP). These forecasts were generated using a modular modelling approach containing two major components:...

Persistent link: https://www.econbiz.de/10010907910

Emerging Structural Pressures in European Labour Markets

Meagher, G.A.; Wilson, R.A.; Yerushalmi, E. - Centre of Policy Studies and Impact Project (COPS), … - 2014

In recent years, a series of European labour market forecasts have been produced on behalf of, and have been published by, the European Centre for the Development of Vocational Training (Cedefop). These forecasts were generated using a modular modelling approach containing two major components,...

Persistent link: https://www.econbiz.de/10010907912