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Temporal consistency of forecasts and data releases
Bürgi, Constantin; Ortiz, Julio L - 2022
professional forecasters provide GDP forecasts that are temporally consistent, meaning that quarterly forecasts add up to the … estimates of information frictions in some cases. For the overwhelming majority of consistent forecasts, annual GDP predictions … almost immediately reflect the monthly GDP releases. These findings suggest that most forecasters make at least minor …
Persistent link: https://www.econbiz.de/10012816462
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Estimation and forecasting using mixed-frequency DSGE models
Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022
In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...
Persistent link: https://www.econbiz.de/10013471326
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10011793094
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10012142050
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Using Low Frequency Information for Predicting High Frequency Variables
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - 2015
We analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure but can be estimated by simple least squares methods and used to produce...
Persistent link: https://www.econbiz.de/10012143869
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanovic, … - 2017
nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both simulation and …
Persistent link: https://www.econbiz.de/10012542458
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10011937289
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …
Persistent link: https://www.econbiz.de/10011792277
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Estimation and forecasting using mixed-frequency DSGE models
Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022
In this paper, we propose a new method to forecast macroeconomic variables that combines two existing approaches to mixed-frequency data in DSGE models. The first existing approach estimates the DSGE model in a quarterly frequency and uses higher frequency auxiliary data only for forecasting...
Persistent link: https://www.econbiz.de/10013465707
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Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - 2008
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10011604996