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Midas Versus Mixed-Frequency VAR : Nowcasting GDP in the Euro Area

Kuzin, Vladimir - 2016

This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients,...

Persistent link: https://www.econbiz.de/10012991063

Pooling Versus Model Selection for Nowcasting with Many Predictors : An Application to German GDP

Kuzin, Vladimir - 2016

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 di¤erent sampling frequencies and publication delays. Two model classes...

Persistent link: https://www.econbiz.de/10012991069

Quantifying Risk and Uncertainty in Macroeconomic Forecasts

Knüppel, Malte - 2016

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...

Persistent link: https://www.econbiz.de/10012991130

Averaging Forecasts from Vars with Uncertain Instabilities

Clark, Todd E. - 2013

paper examines the effectiveness of combining various models of instability in improving VAR forecasts made with real-time …

Persistent link: https://www.econbiz.de/10012711597

Forecasting with Shadow-Rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...

Persistent link: https://www.econbiz.de/10013235487

News Media vs. FRED-MD for Macroeconomic Forecasting

Ellingsen, Jon; Larsen, Vegard; Thorsrud, Leif Anders - 2021

Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time …

Persistent link: https://www.econbiz.de/10013315147

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

The Nordhaus test with many zeros

Lahiri, Kajal; Zhao, Yongchen - 2020

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

Persistent link: https://www.econbiz.de/10012226771

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

We develop a vector autoregressive model with time variation in the mean and the variance. The unobserved time … the researcher to use a large cross-sectional dimension in a feasible amount of computational time. The slowly changing … standard Bayesian VARs with Minnesota priors, VARs with democratic priors and standard time-varying parameter VARs for the euro …

Persistent link: https://www.econbiz.de/10011809970