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stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models … estimation of second-order accurate solutions of DSGE models. These methods are applied to data generated from a linearized DSGE …
Persistent link: https://www.econbiz.de/10005498080
We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting and...
Persistent link: https://www.econbiz.de/10005792336
the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise …
Persistent link: https://www.econbiz.de/10011084012
Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...
Persistent link: https://www.econbiz.de/10005661430
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
Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The world is on the cusp of a dramatic turning point in...
Persistent link: https://www.econbiz.de/10005123809
exchange rate shocks in the period. Further, pass-through is found to decline with recent exchange rate volatility and there is …
Persistent link: https://www.econbiz.de/10008784768
Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared...
Persistent link: https://www.econbiz.de/10008468684
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model that accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for...
Persistent link: https://www.econbiz.de/10005504253
We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...
Persistent link: https://www.econbiz.de/10011083573