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Real-time forecasting in a data-rich environment

LIEBERMANN, JOELLE - Volkswirtschaftliche Fakultät, … - 2012

forecasting one-month ahead, especially with Bayesian VARs. Furthermore, for both real and nominal variables, the direct pooling …

Persistent link: https://www.econbiz.de/10011259073

Can a simple DSGE model outperform Professional Forecasters?

Rubaszek, Michał; Skrzypczyński, Paweł - Narodowy Bank Polski - 2007

forecasting proprieties are still unexplored. In this article we address this problem by examining the quality of forecasts from a … horizons the DSGE model seems to outperform the SPF in forecasting the GDP growth rate. However, this characteristic turned out …

Persistent link: https://www.econbiz.de/10009641442

Forecasting and tracking real-time data revisions in inflation persistence

Tierney, Heather L.R. - Volkswirtschaftliche Fakultät, … - 2011

This paper presents three local nonparametric forecasting methods that are able to utilize the isolated periods of … opposed to chronological time. The most efficient nonparametric forecasting method is the third model, which uses the …

Persistent link: https://www.econbiz.de/10009360270

Forecast Optimality Tests in the Presence of Instabilities

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 2011

forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting …

Persistent link: https://www.econbiz.de/10009276946

Can a simple DSGE model outperform Professional Forecasters?

Rubaszek, Michal; Skrzypczynski, Pawel - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2007

Persistent link: https://www.econbiz.de/10005113472

Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?

Feng, Hui - Department of Economics, University of Victoria - 2005

In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA … real-time monetary aggregate M3 (1977-2000), and residential mortgage credit (1975-1998). The forecasting method we use is … multi-step-ahead non-adaptive forecasting. …

Persistent link: https://www.econbiz.de/10005839154

Evaluating Short-Run Forecasting Properties of the KOF Employment Indicator for Switzerland in Real Time

Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2009

-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to …

Persistent link: https://www.econbiz.de/10005051766

Data Revisions Are Not Well-Behaved

Aruoba, Boragan - C.E.P.R. Discussion Papers - 2005

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...

Persistent link: https://www.econbiz.de/10005504505

Forecasting with a Real-Time Data Set for Macroeconomists

Stark, Tom; Croushore, Dean - Society for Computational Economics - SCE - 2001

key issue is this: In the literature on developing forecasting models, new models are put together based on the results … variety of exercises designed to answer this question. In particular, we find that real-time data matters for some forecasting …

Persistent link: https://www.econbiz.de/10005537777

Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset.

Altavilla, Carlo; Ciccarelli, Matteo - CESifo - 2011

matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities’ reaction functions, we show that this simple method can improve forecasting performance and provide …

Persistent link: https://www.econbiz.de/10008861862