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Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2017

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

Persistent link: https://www.econbiz.de/10011754400

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Mauricio - 2018

During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...

Persistent link: https://www.econbiz.de/10011846246

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

Priors for the long run

Giannone, Domenico; Primiceri, Giorgio E.; Lenza, Michele - 2018

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

Persistent link: https://www.econbiz.de/10011853320

Priors for the long run

Giannone, Domenico; Primiceri, Giorgio E.; Lenza, Michele - 2017

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

Persistent link: https://www.econbiz.de/10011942777

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

A large Bayesian VAR of the United States Economy

Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021

We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...

Persistent link: https://www.econbiz.de/10012613922

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...

Persistent link: https://www.econbiz.de/10012405305

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

Persistent link: https://www.econbiz.de/10012501159

Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area

Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020

point and density forecasts, in line with forecasting practices at many policy institutions. Our main findings are that … point forecasts perform similarly using both approaches, whereas directly forecasting aggregate indices tends to yield … better density forecasts. In the aftermath of the Great Financial Crisis, relative forecasting performance was typically only …

Persistent link: https://www.econbiz.de/10012384462

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