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Conditional forecasts in dynamic multivariate models
Waggoner, Daniel F.; Zha, Tao - 1998
In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...
Persistent link: https://www.econbiz.de/10010397440
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How stable is the predictive power of the yield curve? Evidence from Germany and the United States
Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - 2000
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...
Persistent link: https://www.econbiz.de/10010283311
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Model selection criteria for factor-augmented regressions
Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009
In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...
Persistent link: https://www.econbiz.de/10005420506
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Conditional forecasts in dynamic multivariate models
Waggoner, Daniel F.; Zha, Tao - Federal Reserve Bank of Atlanta - 1998
In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...
Persistent link: https://www.econbiz.de/10005402042
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How stable is the predictive power of the yield curve? evidence from Germany and the United States
Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - Federal Reserve Bank of New York - 2000
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...
Persistent link: https://www.econbiz.de/10005726595
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Forecasting in large macroeconomic panels using Bayesian Model Averaging
Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2003
This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …
Persistent link: https://www.econbiz.de/10005726664
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Financial soundness and development : a multi-country analysis using panel data
Akhter, Md. Selim - University of Western Sydney; College of Business; … - 2008
A large body of the literature argues that the soundness of financial system is largely determined by the economic and institutional environment in which the financial system works. Drawing on this theoretical underpinning, research in this thesis models financial soundness indicators (FSIs)...
Persistent link: https://www.econbiz.de/10009482161
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A Gibbs simulator for restricted VAR models
Waggoner, Daniel F.; Zha, Tao - 2000
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of...
Persistent link: https://www.econbiz.de/10010397454
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Quantifying the half-life of deviations from PPP: The role of economic priors
Kilian, Lutz; Zha, Tao - 1999
The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...
Persistent link: https://www.econbiz.de/10010397558
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Term structure of risk under alternative econometric specifications
Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2005
large variations in term structures across econometric specifications. An out-of-sample forecasting experiment applied to …
Persistent link: https://www.econbiz.de/10005360545