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Improved Forecasting of Realized Variance Measures

Bekierman, Jeremias - 2016

vary over time depending on estimated measurement errors. We propose an alternative specification that allows the … on the estimated measurement error. The model is estimated using the Kalman filter. Our analysis considers realized …

Persistent link: https://www.econbiz.de/10012986440

Nowcasting Global Poverty

Castañeda Aguilar, R. Andrés; Mahler, Daniel Gerszon; … - 2021

This paper evaluates different methods for nowcasting country-level poverty rates, including methods that apply statistical learning to large-scale country-level data obtained from the World Development Indicators and Google Earth Engine. The methods are evaluated by withholding measured poverty...

Persistent link: https://www.econbiz.de/10013255532

The Power of Profit : Business and Economic Analyses, Forecasting, and Stock Valuation

Anari, Ali - 2010

The Role of Profit in Advanced Market Economies -- Profit System Models of the Firm, Industry, and Business Sector -- A Macroeconomic Profit System Model of Advanced Market Economies -- Profit System Models of the Corporate Sector -- Profit System Models for Industries -- A Profit System Model...

Persistent link: https://www.econbiz.de/10013522725

The Reliability of Output Gap Estimates in Real Time

Orphanides, Athanasios; van Norden, Simon - 1999

reliability of the measurement of the output gap has attracted relatively little academic study. Furthermore, both the academic … concentrate on measurement that employs data that only become available later. In this paper we examine the reliability of … induced errors due to incorrect measurement is at its greatest. We investigate the reasons for these ex post revisions, and …

Persistent link: https://www.econbiz.de/10014188614

The Forecasting Capacity of Indicators Measuring Budget Sustainability

Tóth, Csaba G - 2015

Since the outbreak of the European debt crisis, fiscal sustainability as a research area became more and more popular. This paper aims to assess the predicting power of the basic types of the following five fiscal sustainability indicators: primary gap (1), stationary tests for public debt (2),...

Persistent link: https://www.econbiz.de/10014138935

Improving Inflation Forecasts Using Robust Measures

Verbrugge, Randal; Zaman, Saeed - 2022

Both theory and extant empirical evidence suggest that the cross-sectional asymmetry across disaggregated price indexes might be useful in the forecasting of aggregate inflation. Trimmed-mean inflation estimators have been shown to be useful devices for forecasting headline PCE inflation. But...

Persistent link: https://www.econbiz.de/10014079310

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

Marcellino, Massimiliano Giuseppe; Banerjee, Anindya; … - 2014

In this paper we evaluate the relative merits of three approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and single-indicator-based forecast pooling. The comparison is conducted...

Persistent link: https://www.econbiz.de/10014086494

Leading Indicators for Euro-Area Inflation and GDP Growth

Marcellino, Massimiliano Giuseppe; Banerjee, Anindya; … - 2014

In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB Euro-area model database, plus a set of similar variables for the US. We compare the forecasting performance of each...

Persistent link: https://www.econbiz.de/10014086495

On the Selection of Error Measures for Comparisons Among Forecasting Methods

Armstrong, J. Scott - 2012

Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an improvement to the Mean Square Error in comparing forecasting performance across data series. They based their conclusion on the fact that rankings based on GFESM remain unaltered if the series are...

Persistent link: https://www.econbiz.de/10014028376

Measuring Investor Sentiment in the Stock Market

Beer, Francisca - 2011

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration....

Persistent link: https://www.econbiz.de/10013119816