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Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set

Rossi, Barbara; Sekhposyan, Tatevik - In: International journal of forecasting 30 (2014) 3, pp. 662-682

Persistent link: https://www.econbiz.de/10010514762

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 152-168

Persistent link: https://www.econbiz.de/10012804095

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - In: International journal of forecasting 36 (2020) 3, pp. 829-850

Persistent link: https://www.econbiz.de/10012496873

State-dependent biases and the quality of China's preliminary GDP announcements

Yang, Lixiong - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 2663-2687

Persistent link: https://www.econbiz.de/10012498622

The return of financial variables in forecasting GDP growth in the G-7

Kuosmanen, Petri; Vataja, Juuso - In: Economic change and restructuring : empirical and … 50 (2017) 3, pp. 259-277

Persistent link: https://www.econbiz.de/10011778412

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - 2020

We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...

Persistent link: https://www.econbiz.de/10012233667