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Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2010

design a statistical model which produces a sequence of nowcasts in relation to the real time releases of various economic …

Persistent link: https://www.econbiz.de/10008771794

Nowcasting

Banbura, Marta - 2010

design a statistical model which produces a sequence of nowcasts in relation to the real time releases of various economic …

Persistent link: https://www.econbiz.de/10013135504

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

Persistent link: https://www.econbiz.de/10011305389

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal - 2015

Persistent link: https://www.econbiz.de/10013017623

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021

We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...

Persistent link: https://www.econbiz.de/10013251262

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

Persistent link: https://www.econbiz.de/10012405456

Pooling versus model selection for nowcasting with many predictors : an application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes...

Persistent link: https://www.econbiz.de/10003811129

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco - 2012

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...

Persistent link: https://www.econbiz.de/10009501843

Combining recession probability forecasts from a dynamic probit indicator

Theobald, Thomas - 2012

This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the … set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a …

Persistent link: https://www.econbiz.de/10009530106

Real-time Markov switching and leading indicators in times of the financial crisis

Theobald, Thomas - 2012

turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession … changing the number of regimes on the real-time path, where both leads to a higher forecast accuracy. Changing the number of … determine as early as possible the point in time, from which the last recession structurally exceeded the previous ones. In fact …

Persistent link: https://www.econbiz.de/10009616498