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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10010678559
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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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Forecasting with Factor Models: A Bayesian Model Averaging Perspective
Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013
terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …
Persistent link: https://www.econbiz.de/10011111484
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Predictive likelihood comparisons with DSGE and DSGE-VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2013
distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …
Persistent link: https://www.econbiz.de/10011605581
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012120406
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
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Forecasting in vector autoregressions with many predictors
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2008
This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …
Persistent link: https://www.econbiz.de/10008592950
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VAR forecasting using Bayesian variable selection
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009
This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …
Persistent link: https://www.econbiz.de/10008593003
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VAR forecasting using Bayesian variable selection
KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011
is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …
Persistent link: https://www.econbiz.de/10010610485
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Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392