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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence

Kim, Hyun Hak; Swanson, Norman R. - 2011

constructed using pure principal component type models combined with shrinkage methods yield mean square forecast error best … models around 70% of the time, when used to predict 11 key macroeconomic indicators at various forecast horizons. Baseline …

Persistent link: https://www.econbiz.de/10010282841

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman - 2011

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...

Persistent link: https://www.econbiz.de/10010282854

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2011

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10010282865

Real-time datasets really do make a difference: Definitional change, data release, and forecasting

Fernandez, Andres; Swanson, Norman - 2011

square forecast error (MSFE) 'best' predictions. On the other hand, models estimated and implemented using 'latest available …

Persistent link: https://www.econbiz.de/10010282871

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

Shock identification of macroeconomic forecasts based on daily panels

Amstad, Marlene; Fischer, Andreas M. - 2005

-sectional information facilitates the interpretation of the forecast innovations as real or as nominal information shocks. An empirical …

Persistent link: https://www.econbiz.de/10010283312

The relationship between expected inflation, disagreement, and uncertainty: Evidence from matched point and density forecasts

Rich, Robert; Tracy, Joseph - 2006

This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our data construction and estimation methodology....

Persistent link: https://www.econbiz.de/10010283341

Forecasting and estimating multiple change-point models with an unknown number of change points

Koop, Gary M.; Potter, Simon M. - 2004

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...

Persistent link: https://www.econbiz.de/10010283423

Prediction markets for economic forecasting

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2012

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of …

Persistent link: https://www.econbiz.de/10010283631

Inflation forecast targeting in an overlapping generations model

Sorger, Gerhard - 2003

In the framework of a standard overlapping generations model, it is shown that active inflation forecast targeting …-age consumption. The inflation forecast targeting rule which minimizes the volatility of inflation can be active or passive, depending … on the characteristics of shocks and the risk aversion of households. Inflation forecast errors are always greater under …

Persistent link: https://www.econbiz.de/10010284098