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Exact and approximate multi-period mean-square forecast errors for dynamic econometric models

Ericsson, Neil R.; Marquez, Jaime R. - Federal Reserve Board (Board of Governors of the … - 1989

Both future disturbances and estimated coefficients contribute to the uncertainty in model-based ex ante forecasts, but only the first source is usually taken into account when calculating confidence intervals for practical applications. Schmidt (1974) and Baillie (1979) provide an easily...

Persistent link: https://www.econbiz.de/10005712707

Predicting global stock returns

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2008

common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data …

Persistent link: https://www.econbiz.de/10005712760

Evaluating the predictive performance of trade-account models

Marquez, Jaime; Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1990

This paper evaluates the distributional properties of forecasts from six econometric models of the U.S. trade account. Using stochastic (Monte Carlo) simulation, we derive confidence intervals and forecast-based test statistics which account for uncertainty from future disturbances and from...

Persistent link: https://www.econbiz.de/10005712804

The stochastic coefficients approach to econometric modeling, part III: estimation, stability testing, and prediction

Swamy, P.A.V.B.; Conway, Roger K.; LeBlanc, Michael R. - Federal Reserve Board (Board of Governors of the … - 1988

Persistent link: https://www.econbiz.de/10005721066

Heterogeneous forecasts and aggregate dynamics

Bomfim, Antulio N. - Federal Reserve Board (Board of Governors of the … - 2000

model where agents use differing degrees of sophistication when forecasting future economic conditions. All agents solve … problems based on simple forecasting rules of thumb. Assuming a hierarchical information structure similar to the one in …

Persistent link: https://www.econbiz.de/10005721250

Term premia and interest rate forecasts in affine models

Duffee, Gregory R. - Federal Reserve Bank of San Francisco - 2000

I find that the standard class of affine models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: the compensation that investors receive...

Persistent link: https://www.econbiz.de/10005721475

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - Federal Reserve Bank of Atlanta - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10005721646

Is the strong dollar sustainable?

Krugman, Paul R. - In: Proceedings - Economic Policy Symposium - Jackson Hole (1985), pp. 103-155

Persistent link: https://www.econbiz.de/10005726216

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

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