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Forecasting US inflation using Markov dimension switching

Prüser, Jan - 2017

This study considers Bayesian variable selection in the Phillips curve context by using the Bernoulli approach of Korobilis (2013a). The Bernoulli model, however, is unable to account for model change over time, which is important if the set of relevant predictors changes over time. To tackle...

Persistent link: https://www.econbiz.de/10011722809

Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - 2005

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form … evaluation using several univariate and multivariate measures. The results show that the open economy DSGE model compares well …

Persistent link: https://www.econbiz.de/10010321290

RGAP: output gap estimation in R

Streicher, Sina - 2022

Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which...

Persistent link: https://www.econbiz.de/10014374265

DSGE model forecasting: Rational expectations vs. adaptive learning

Warne, Anders - 2023

This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with …

Persistent link: https://www.econbiz.de/10014374419

Macro Modelling with Many Models

Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - 2009

inflation with an ensemble DSGE. …

Persistent link: https://www.econbiz.de/10012143720

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - 2010

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

Persistent link: https://www.econbiz.de/10012143736

Nowcasting Using News Topics. Big Data Versus Big Bank

Thorsrud, Leif Anders - 2016

The agents in the economy use a plethora of high frequency information, including news media, to guide their actions and thereby shape aggregate economic fluctuations. Traditional nowcasting approches have to a relatively little degree made use of such information. In this paper, I show how...

Persistent link: https://www.econbiz.de/10012143898

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior …. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with … and without financial frictions and document the benefits of conditioning DSGE model forecasts on nowcasts of …

Persistent link: https://www.econbiz.de/10012144736

MAJA: A two-region DSGE model for Sweden and its main trading partners

Corbo, Vesna; Strid, Ingvar - 2020

-economy dynamic stochastic general equilibrium (DSGE) models to generate substantial cross-country spillovers; see e.g. the seminal … paper of Justiniano and Preston (2010). We present a two-region DSGE model that better captures the dependence on global …

Persistent link: https://www.econbiz.de/10012497743

Combining Bayesian VARs with survey density forecasts: Does it pay off?

Ba´nbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021

This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of optimal pooling and tilting techniques, including...

Persistent link: https://www.econbiz.de/10012515464