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Antecipação fiscal, não fundamentalidade e não causalidade no Brasil

Borelli, Luan; Vonbun, Christian; Góes, Geraldo Sandoval - 2021

So far, there are very few papers concerning the problems of non causality and non-fundamentalness in fiscal studies. This is even truer for Brazil. Non causality and non fundamentalness are econometric problems that are specially relevant in fiscal studies, as they are relate to fiscal...

Persistent link: https://www.econbiz.de/10012802817

Improving inference and forecasting in VAR models using cross-sectional information

Prüser, Jan; Blagov, Boris - 2022

We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...

Persistent link: https://www.econbiz.de/10013366009

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10010321341

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10012141917

Macro Modelling with Many Models

Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - 2009

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

Persistent link: https://www.econbiz.de/10012143720

Would DSGE models have predicted the Great Recession in Austria?

Breuss, Fritz - 2016

story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …

Persistent link: https://www.econbiz.de/10011561187

Antecipação fiscal, não fundamentalidade e não causalidade no Brasil

Borelli, Luan; Vonbun, Christian; Góes, Geraldo Sandoval - 2021

So far, there are very few papers concerning the problems of non causality and non-fundamentalness in ﬁscal studies. This is even truer for Brazil. Non causality and non fundamentalness are econometric problems that are specially relevant in ﬁscal studies, as they are relate to ﬁscal...

Persistent link: https://www.econbiz.de/10012656123

Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Persistent link: https://www.econbiz.de/10011585058

A multi-country approach to analysing the euro area output gap

Huber, Florian; Piribauer, Philipp - 2018

an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well …

Persistent link: https://www.econbiz.de/10011806537

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018

Persistent link: https://www.econbiz.de/10011882797