Search Results - subject:"FORECAST EVALUATION"

Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?

Sekhposyan, Tatevik; Rossi, Barbara - Duke University, Department of Economics - 2009

We evaluate various economic modelsí relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the modelsí relative performance can be varying over time. We show that the modelsí relative performance has,...

Persistent link: https://www.econbiz.de/10005039575

Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function

Doepke, Joerg; Fritsche, Ulrich; Siliverstovs, Boriss - Fachbereich Sozialökonomie, Universität Hamburg - 2009

Based on annual data for growth and inflation forecasts for Germany covering the time span from 1970 to 2007 and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters' loss function and estimate the degree of asymmetry for each forecasting institution using...

Persistent link: https://www.econbiz.de/10005011766

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - Economics and Econometrics Research Institute (EERI) - 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

Persistent link: https://www.econbiz.de/10005092403

Understanding forecast failure in ESTAR models of real exchange rates

Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009

The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...

Persistent link: https://www.econbiz.de/10005103385

Prognosen aus dem Internet: weitere Erholung am Arbeitsmarkt erwartet

Askitas, Nikos; Zimmermann, Klaus F. - In: DIW Wochenbericht 76 (2009) 25, pp. 402-408

Überraschend ist im Mai die Arbeitslosigkeit gefallen. Diese positive Entwicklung wird sich im Juni zunächst fortsetzen. Diese Einschätzung basiert auf einem neuen methodischen Konzept, das Google-Aktivitätsdaten für die kurzfristige Prognose der Arbeitslosigkeit einsetzt. Gerade in...

Persistent link: https://www.econbiz.de/10005070971

Bei Google liegen Datenschätze - auch für die Wissenschaft: Acht Fragen an Klaus F. Zimmermann

In: DIW Wochenbericht 76 (2009) 25, pp. 403-403

Persistent link: https://www.econbiz.de/10005055317

Evaluating multivariate volatility forecasts

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - National Centre for Econometric Research (NCER) - 2009

The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed. Multivariate forecasts are often evaluated within an economic application such as portfolio...

Persistent link: https://www.econbiz.de/10005635667

Combining VAR and DSGE forecast densities

Bache, Ida Wolden; Jore, Anne Sofie; Mitchell, James; … - Norges Bank - 2009

A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of unknown timing; see (among others) Stock and Watson (2004), Clark and McCracken (2010), and Jore et al. (2010). Existing studies of this forecasting strategy exclude Dynamic...

Persistent link: https://www.econbiz.de/10008514719

INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS

Hall, Alastair; Atsushi; Nason, James M; Rossi, Barbara - Duke University, Department of Economics - 2009

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

Persistent link: https://www.econbiz.de/10008549053

On the Economic Evaluation of Volatility Forecasts

Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of …. Simulations and a small empirical study suggest that the bias can be empirically substantial and lead to distortions in forecast … evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …

Persistent link: https://www.econbiz.de/10008491711