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Corradi, Valentina; Swanson, Norman R. - 2004

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10010276815

An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series

Bhardwaj, Geetesh; Swanson, Norman R. - 2004

analysis of point mean square forecast errors (MSFEs), and based on the use of Diebold and Mariano (1995) and Clark and … McCracken (2001) predictive accuracy tests. Results are presented for a variety of forecast horizons and for recursive and … greater forecast horizons, while this is clearly not the case for non-ARFIMA models. We provide further support for our …

Persistent link: https://www.econbiz.de/10010276818

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman R. - 2004

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

Persistent link: https://www.econbiz.de/10010276819

The quantity theory of money: An assessment of its real linchpin prediction

Hillinger, Claude; Süssmuth, Bernd - 2010

This study approaches the Quantity Theory of Money at a conceptual level, asking how it can be most reasonably interpreted and quantitatively assessed. The resulting approach is straightforward. Unlike studies relying on other methods we find evidence of its linchpin prediction that is not...

Persistent link: https://www.econbiz.de/10010276869

Money as an Indicator in the Euro Zone

van Zandweghe, Willem; Martinez Rico, Felipe; … - 2000

This paper attempts to evaluate the information content of money for the forecast of inflation, output, investment and … their forecast performance. The evaluation employs Granger-causality tests, stability tests and historical out …-of-sample forecasts. On balance the information content of money appears to be rather limited. An improvement of the forecast is confined …

Persistent link: https://www.econbiz.de/10010277282

Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data

Mittnik, Stefan; Zadrozny, Peter A. - 2004

The paper illustrates and evaluates a Kalman filtering method for forecasting German real GDP at monthly intervals. German real GDP is produced at quarterly intervals but analysts and decision makers often want monthly GDP forecasts. Quarterly GDP could be regressed on monthly indicators, which...

Persistent link: https://www.econbiz.de/10010277284

Assessing the real-time informational content of macroeconomic data releases for now-/forecasting GDP: Evidence for Switzerland

Siliverstovs, Boriss; Kholodilin, Konstantin A. - 2010

Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … to a benchmark naive constant-growth model at all forecast horizons and at all data vintages. The largest forecast …

Persistent link: https://www.econbiz.de/10010277729

The politics of IMF forecasts

Dreher, Axel; Marchesi, Silvia; Vreeland, James Raymond - 2007

Using panel data for 157 countries over the period 1999-2005 we empirically investigate the politics involved in IMF economic forecasts. We find a systematic bias in growth and inflation forecasts. Our results indicate that countries voting in line with the US in the UN General Assembly receive...

Persistent link: https://www.econbiz.de/10010277755

Can a standardized aptitude test predict training success of apprentices? Evidence from a case study in Switzerland

Siegenthaler, Michael - 2011

From a theoretical perspective, the output gap is probably the most comprehensive and convincing concept to describe the cyclical position of an economy. Unfortunately, for practical purposes, the concept depends on the determination of potential output, which is an inherently unobservable...

Persistent link: https://www.econbiz.de/10010277776

Do Google searches help in nowcasting private consumption? A real-time evidence for the US

Kholodilin, Konstantin A.; Podstawski, Maximilian; … - 2010

In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...

Persistent link: https://www.econbiz.de/10010277780