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Anatomy of the 1981-83 disinflation

Throop, Adrian W. - In: FRBSF Economic Letter (1984)

Persistent link: https://www.econbiz.de/10005490690

Comparing inflation forecasts

Throop, Adrian W. - In: FRBSF Economic Letter (1984)

Persistent link: https://www.econbiz.de/10005490693

Predictability in international asset returns: a reexamination

Neely, Christopher; Weller, Paul - Federal Reserve Bank of St. Louis - 1999

This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992),...

Persistent link: https://www.econbiz.de/10005490919

Comments on the evaluation of policy models

Granger, Clive W. J.; Deutsch, Melinda - Federal Reserve Board (Board of Governors of the … - 1991

This paper examines the evaluation of models claimed to be relevant for policy making purposes. A number of tests are proposed to determine the usefulness of such models in the policy making process. These tests are applied to three empirical examples.

Persistent link: https://www.econbiz.de/10005498839

Regulatory evaluation of value-at-risk models

Lopez, Jose A. - Federal Reserve Bank of New York - 1997

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...

Persistent link: https://www.econbiz.de/10005526313

The accuracy of two forecasting techniques: some evidence and an interpretation

McNees, Stephen K. - In: New England Economic Review (1986) Mar, pp. 20-31

Persistent link: https://www.econbiz.de/10005526666

Computable general equilibrium models and monetary policy advice

Altig, David E.; Carlstrom, Charles T.; Lansing, Kevin J. - In: Proceedings (1994), pp. 1472-1505

Persistent link: https://www.econbiz.de/10005420293

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

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - Fondazione ENI Enrico Mattei (FEEM) - 2007

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

Persistent link: https://www.econbiz.de/10005423181

Econometric model and futures markets commodity price forecasting

Just, Richard E.; Rausser, Gordon C. - Department of Agricultural and Resource Economics, … - 1979

Persistent link: https://www.econbiz.de/10010676539