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Inflation and Professional Forecast Dynamics : An Evaluation of Stickiness, Persistence, and Volatility
Mertens, Elmar - 2018
This paper studies the joint dynamics of real-time U.S. inflation and average inflation predictions of the Survey of … unobserved components (UC) model of inflation and a sticky information (SI) prediction mechanism for the SPF predictions. We add … drifting gap inflation persistence to a UC model in which stochastic volatility (SV) affects trend and gap inflation. Another …
Persistent link: https://www.econbiz.de/10012922666
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Inflation and Professional Forecast Dynamics : An Evaluation of Stickiness, Persistence, and Volatility
Mertens, Elmar - 2017
This paper studies the joint dynamics of real time U.S. inflation and the mean inflation predictions of the Survey of … (UC) model of inflation and a sticky information (SI) prediction mechanism for SPF inflation predictions. We add drifting … gap inflation persistence to a UC model that already has stochastic volatility (SV) afflicting trend and gap inflation …
Persistent link: https://www.econbiz.de/10012946951
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Bayesian forecast combination for VAR models
Andersson, Michael K.; Karlsson, Sune - 2007
We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty...
Persistent link: https://www.econbiz.de/10010320769
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - 2018
recent advances in precision-based algorithms, is developed. Our results for several measures of U.S. inflation indicate that … estimates of trend inflation. …
Persistent link: https://www.econbiz.de/10011809478
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An Embarrassment of Riches: Forecasting Using Large Panels
Eklund, Jana; Karlsson, Sune - 2007
The increasing availability of data and potential predictor variables poses new challenges to forecasters. The task of formulating a single forecasting model that can extract all the relevant information is becoming increasingly difficult in the face of this abundance of data. The two leading...
Persistent link: https://www.econbiz.de/10012654322
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An Embarrassment of Riches: Forecasting Using Large Panels
Eklund, Jana; Karlsson, Sune - Handelshögskolan, Örebro Universitet - 2007
The increasing availability of data and potential predictor variables poses new challenges to forecasters. The task of formulating a single forecasting model that can extract all the relevant information is becoming increasingly difficult in the face of this abundance of data. The two leading...
Persistent link: https://www.econbiz.de/10005644788
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010412361
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"Children of the HMM" : modeling longitudinal customer behavior at Hulu.com
Schwartz, Eric M.; Bradlow, Eric T.; Fader, Peter; … - 2011
Stand-alone marketing models are well-suited to deal with different behavioral features such as variation in transaction frequency (customer heterogeneity with latent classes), recency and attrition (“buy ‘till you die” models), and more general changes in customer transaction rates...
Persistent link: https://www.econbiz.de/10009356633
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Bayesian default probability models
Andrlíková, Petra - 2014
This paper proposes a methodology for default probability estimation for low default portfolios, where the statistical … inference may become troublesome. The author suggests using logistic regression models with the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10010358364
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Bayesian analysis of dynamic factor models : an ex-post approach towards the rotation problem
Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - 2014
Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...
Persistent link: https://www.econbiz.de/10010238913