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Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts

Dobrescu, Emilian - 2015

developing during this period. The second section examines the forecast accuracy problem for the case of a complex economic …

Persistent link: https://www.econbiz.de/10013019550

Forecasts with Single-Equation Markov-Switching Model : An Application to the Gross Domestic Product of Latvia

Buss, Ginters - 2010

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...

Persistent link: https://www.econbiz.de/10013147524

Nowcasting GDP with a large factor model space

Eraslan, Sercan; Schröder, Maximilian - 2019

German GDP. Our recursive out-of-sample forecast evaluation results reveal that our framework is able to generate forecasts … superior to those obtained from a naive and more competitive benchmark models. These forecast gains seem to emerge especially …

Persistent link: https://www.econbiz.de/10012119825

Non-Parametric Direct Multi-Step Estimation for Forecasting Economic Processes

Chevillon, Guillaume; Hendry, David F. - 2004

several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP … correlation or regime shifts, DMS can forecast more accurately. Monte Carlo simulations clarify the non-linear dependence of the … estimation and forecast biases on the parameters of the DGP, and explain existing results …

Persistent link: https://www.econbiz.de/10014071203

Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)

Mariano, Roberto S.; Ozmucur, Suleyman - 2020

. The analysis is done through comparison of forecast performance measures (such as mean squared prediction error) and … application of statistical tests of comparative predictive accuracy and tests of forecast encompassing. Results obtained so far … purposes of forecast averaging …

Persistent link: https://www.econbiz.de/10014094788

Nowcasting GDP through the lens of economic states

Boudt, Kris; De Block, Arno; Langenus, Geert; Reusens, Peter - 2023

Common sense tells that historical data are more informative for the estimation of today's nowcasting models when observed in a similar economic state as today. We operationalise this intuition by proposing a state-based weighted estimation procedure of GDP nowcasting models, in which...

Persistent link: https://www.econbiz.de/10014450791

Forecasting Macro-Financial Variables in an International Data-Rich Environment Vector Autoregressive Model (iDREAM)

De Meo, Emanuele - 2018

We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...

Persistent link: https://www.econbiz.de/10012916500

Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...

Persistent link: https://www.econbiz.de/10008689001

Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis

Greenwood-Nimmo, Matthew - 2012

This chapter demonstrates the usefulness of the GVAR modelling framework as a tool for scenario-based forecasting and counterfactual analysis. Working with the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2010, J. Appl. Econometrics), we first show how probabilistic forecasting can...

Persistent link: https://www.econbiz.de/10013108754