Showing 1 - 10 of 570
We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...
Persistent link: https://www.econbiz.de/10005504505
model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically … simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting …
Persistent link: https://www.econbiz.de/10011083411
While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …
Persistent link: https://www.econbiz.de/10011083425
This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...
Persistent link: https://www.econbiz.de/10011084707
produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …
Persistent link: https://www.econbiz.de/10005124019
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481
aggregating weighted forecasts of the sub-component price indices, versus forecasting the aggregate consumer price index itself … aggregate CPI forecasts, and also offers substantial gains over forecasting using benchmark naïve models. The analysis also … contributes an improved understanding of sectoral inflationary pressures. This forecasting method should be more robust to the …
Persistent link: https://www.econbiz.de/10008553067
combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide …
Persistent link: https://www.econbiz.de/10005034764
Over the past decade Hong Kong and China have become far more important to the world’s wine markets, while Southeast Asia’s imports of fine wine continue to grow steadily. This paper reviews recent developments in the light of comparative advantage theory before drawing on a model of global...
Persistent link: https://www.econbiz.de/10011262888
Globalization is not new to the world’s wine markets, but its influence over the past decade or so has increased dramatically. This Paper reviews the effects of that on both the Old World and New World. In focusing retrospectively on the period since the late 1980s, it points to the dramatic...
Persistent link: https://www.econbiz.de/10005792442