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prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to …
Persistent link: https://www.econbiz.de/10010461231
apply generalized method of moments (GMM) estimation. We find that we can get relatively accurate parameter estimates with …
Persistent link: https://www.econbiz.de/10010501932
estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts …
Persistent link: https://www.econbiz.de/10010489849
The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...
Persistent link: https://www.econbiz.de/10010491104
Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...
Persistent link: https://www.econbiz.de/10010434848
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...
Persistent link: https://www.econbiz.de/10010479018
possible to detect when using full-sample estimation information. On average, the forecast improvements attain about 20 …
Persistent link: https://www.econbiz.de/10010482020
This paper evaluates the ability of autoregressive models, professional forecasters, and models that incorporate unemployment flows to forecast the unemployment rate. We pay particular attention to flows-based approaches - the more reduced-form approach of Barnichon and Nekarda (2012) and the...
Persistent link: https://www.econbiz.de/10010484066
alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of …
Persistent link: https://www.econbiz.de/10010409922
Persistent link: https://www.econbiz.de/10009782578