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Combining forecast densities from VARs with uncertain instabilities
Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. - In: Journal of applied econometrics 25 (2010) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10008667470
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Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - 2010
Persistent link: https://www.econbiz.de/10003978284
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Measuring output gap uncertainty
Garratt, Anthony; Mitchell, James; Vahey, Shaun P. - 2010
Persistent link: https://www.econbiz.de/10003958052
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Measuring core inflation in Australia with disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - In: Inflation in an era of relative price shocks : …, (pp. 178-201). 2010
Persistent link: https://www.econbiz.de/10008736223
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Macro modelling with many models
Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - 2009
Persistent link: https://www.econbiz.de/10008649685
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Combining VAR and DSGE forecast densities
Bache, Ida Wolden; Jore, Anne Sofie; Mitchell, James; … - In: Journal of economic dynamics & control 35 (2011) 10, pp. 1659-1670
Persistent link: https://www.econbiz.de/10009307480
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Real-time inflation forecast densities from ensemble Phillips curves
Garratt, Anthony; Mitchell, James; Vahey, Shaun P.; … - In: The North American journal of economics and finance : a … 22 (2011) 1, pp. 77-87
Persistent link: https://www.econbiz.de/10009266773
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Probabilistic interest rate setting with a shadow board : a description of the pilot project
Henckel, Timo; Vahey, Shaun P.; Wakerly, Liz - 2011
Persistent link: https://www.econbiz.de/10009405754
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Measuring output gap nowcast uncertainty
Garratt, Anthony; Mitchell, James; Vahey, Shaun P. - 2011
Persistent link: https://www.econbiz.de/10009405808
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Real-time inflation forecast densities from ensemble Phillips curves
Garratt, Anthony; Mitchell, James; Vahey, Shaun P.; … - 2009
A popular macroeconomic forecasting strategy takes combinations across many models to hedge against model instabilities of unknown timing; see (among others) Stock andWatson (2004) and Clark and McCracken (2009). In this paper, we examine the effectiveness of recursive-weight and equal-weight...
Persistent link: https://www.econbiz.de/10003907085