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Understanding the Opportunistic Approach to Disinflation

Minford, Patrick; Srinivasan, Naveen - C.E.P.R. Discussion Papers - 2003

One approach to achieving price stability is to undertake a deliberate path to an ultimate goal of low inflation - deliberate disinflation. In contrast an opportunistic strategy for disinflation has gained credence in recent years. We compare the ability of the two approaches to achieve...

Persistent link: https://www.econbiz.de/10005497915

Properties of Optimal Forecasts

Patton, Andrew J; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2003

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially uncorrelated at the single-period horizon with increasing...

Persistent link: https://www.econbiz.de/10005661998

Economic Forecasting

Elliott, Graham; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2007

Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions. We discuss the central role of the loss function in helping determine the forecaster's objectives and use this to present a unified...

Persistent link: https://www.econbiz.de/10005788912

Union-wide Aggregates versus National Data Based Monetary Policies: Does it Matter for the Eurosystem?

De Grauwe, Paul; Piskorski, Tomasz - C.E.P.R. Discussion Papers - 2001

The effectiveness of alternative loss functions assigned to the common central bank of a monetary union is studied. The alternative policy objectives are a function of the degree of aggregation of decision variables. We consider, respectively, the policy based on the union-wide aggregates and...

Persistent link: https://www.econbiz.de/10005114262

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean …

Persistent link: https://www.econbiz.de/10005504404

Leading Indicators for Euro Area Inflation and GDP Growth

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2003

real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyse three …

Persistent link: https://www.econbiz.de/10005662386

Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...

Persistent link: https://www.econbiz.de/10008553067

Pooling versus model selection for nowcasting with many predictors: An application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009

, amongst others, the factor estimation method and the number of factors, lag length and indicator selection. Thus, there are …

Persistent link: https://www.econbiz.de/10005123534

A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions

Ivanov, Ventzislav; Kilian, Lutz - C.E.P.R. Discussion Papers - 2001

An important preliminary step in impulse response analysis is to select the vector autoregressive (VAR) lag order from the data, yet little is known about the implications of alternative lag order selection criteria for the accuracy of the impulse response estimates. In this Paper, we compare...

Persistent link: https://www.econbiz.de/10005123979

Bagging Time Series Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2004

A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually … produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting … greatly reduces the prediction mean squared error of forecasts of US CPI inflation at horizons of one month and one year. …

Persistent link: https://www.econbiz.de/10005124019