Das Produktionspotenzial ist eine wichtige makroökonomische Indikatorvariable. Die Abweichung der Produktion vom Produktionspotenzial, die Produktionslücke, dient der Einschätzung der konjunkturellen Lage und als Indikator für Inflations- oder Deflationsrisiken. Wie sicher kann die...

We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...

Summary This paper provides a review of the recent literature concerned with large factor models as forecast devices.We focus on factor models that account for mixed-frequency data and missing observations at the end of the sample. These are data irregularities applied forecasters have to cope...

This paper evaluates a novel sampling algorithm, called shotgun stochastic search (S³), for Bayesian model averaging in the context of finding predictors for inflation when the set of potential predictors is large. This is a relevant case in the forecasting literature, where often hundreds of...