Narrow search
Showing 211 - 220 of 44,709
Cover Image
Improving inference and forecasting in VAR models using cross-sectional information
Prüser, Jan; Blagov, Boris - 2022
We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...
Persistent link: https://www.econbiz.de/10013359163
Cover Image
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/10014258211
Cover Image
Combining Bayesian VARs with Survey Density Forecasts : Does it Pay Off?
Banbura, 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/10013229967
Cover Image
Financial Market Frictions in a Model of the Euro Area
Lombardo, Giovanni - 2012
We build a model of the euro area incorporating financial market frictions at the level of firms and households. Entrepreneurs borrow from financial intermediaries in order to purchase business capital, in the spirit of the 'financial accelerator' literature. We also introduce two types of...
Persistent link: https://www.econbiz.de/10013111006
Cover Image
Performance Evaluation of the New Connecticut Leading Employment Index Using Lead Profiles and BVAR Models.
Banerji, Anirvan; Dua, Pami; Miller, Stephen M. - Centre for Development Economics, Delhi School of Economics - 2003
Dua and Miller (1996) created leading and coincident employment indexes for the state of Connecticut, following Moore's (1981) work at the national level. The performance of the Dua-Miller indexes following the recession of the early 1990s fell short of expectations. This paper performs two...
Persistent link: https://www.econbiz.de/10005770864
Cover Image
Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - Norges Bank - 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/10008516805
Cover Image
Macro modelling with many models
Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - Norges Bank - 2009
inflation with an ensemble DSGE. …
Persistent link: https://www.econbiz.de/10004976646
Cover Image
Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model
Adolfson, Malin; Lindé, Jesper; Villani, Mattias - Sveriges Riksbank - 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/10005649034
Cover Image
Credit shocks and cycles: a Bayesian calibration approach
Meeks, Roland - Department of Economics, Oxford University - 2006
This paper asks how well a general equilibrium agency cost model describes the dynamic relationship between credit variables and the business cycle. A Bayesian VAR is used to obtain probability intervals for empirical correlations. The agency cost model is found to predict the leading,...
Persistent link: https://www.econbiz.de/10010820335
Cover Image
Forecast Densities for Economic Aggregates from Disaggregate Ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - College of Business and Economics, Australian National … - 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/10008620637