Im Projekt t+20 des Statistischen Bundesamtes wurden Methoden untersucht, um Konjunkturindikatoren für das Verarbeitende Gewerbe beschleunigt bereitzustellen. Der Einsatz mikrodatenbasierter Modelle, darunter Imputationsmethoden und Maschinelles Lernen, sowie eines makrodatenbasierten...

Im Projekt t+20 des Statistischen Bundesamtes wurden Methoden untersucht, um Konjunkturindikatoren für das Verarbeitende Gewerbe beschleunigt bereitzustellen. Der Einsatz mikrodatenbasierter Modelle, darunter Imputationsmethoden und Maschinelles Lernen, sowie eines makrodatenbasierten...

We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

This dissertation asks whether frequency misspecification of a New Keynesian model results in temporal aggregation bias of the Calvo parameter. First, when a New Keynesian model is estimated at a quarterly frequency while the true data generating process is the same but at a monthly...

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...

In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are...

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...