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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015
predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …
Persistent link: https://www.econbiz.de/10011460630
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Factor models for non-stationary series : estimates of monthly U.S. GDP
Hengge, Martina; Leonard, Seton - 2017
This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...
Persistent link: https://www.econbiz.de/10011669132
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Exploiting the monthly data-flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2014
Persistent link: https://www.econbiz.de/10012170255
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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - In: Journal of monetary economics 84 (2016), pp. 201-215
Persistent link: https://www.econbiz.de/10011709686
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10011813503
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Estimation and forecasting using mixed-frequency DSGE models
Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022
higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …
Persistent link: https://www.econbiz.de/10013465707
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Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data
Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022
this basis, we then run standard tests of forecasting accuracy by comparing the imputed monthly series to the original …
Persistent link: https://www.econbiz.de/10013472865
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Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data
Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022
tests of forecasting accuracy by comparing the imputed monthly series to the original monthly series. Finally, we take a …
Persistent link: https://www.econbiz.de/10013482570
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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
DSGE (Dynamic stochastic general equilibrium) models are the common workhorse of modern macroeconomic theory. Whereas … 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 …
Persistent link: https://www.econbiz.de/10011561187
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Evaluating point and density forecasts of DSGE models
Wolters, Maik H. - 2012
This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical US data vintages synchronized with the Fed's Greenbook...
Persistent link: https://www.econbiz.de/10010392192