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Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback

Zagaglia, Paolo - Rimini Centre for Economic Analysis (RCEA) - 2011

This paper studies the forecasting performance of the general equilibrium model of bond yields of Marzo, Söderström and …

Persistent link: https://www.econbiz.de/10008860734

Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors

Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011

– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

Persistent link: https://www.econbiz.de/10009000949

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - Rimini Centre for Economic Analysis (RCEA) - 2011

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast … majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many …

Persistent link: https://www.econbiz.de/10009142658

Factor Analysis of a Large DSGE Model

Onatski, Alexei; Ruge-Murcia, Francisco J. - Rimini Centre for Economic Analysis (RCEA) - 2010

We study the workings of the factor analysis of high-dimensional data using articial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

Persistent link: https://www.econbiz.de/10008751298

VAR Forecasting Using Bayesian Variable Selection

Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2010

is assessed in forecasting three major macroeconomic time series of the UK economy. Data-based restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

Persistent link: https://www.econbiz.de/10008764097

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - Rimini Centre for Economic Analysis (RCEA) - 2008

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10005091090

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008

In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...

Persistent link: https://www.econbiz.de/10005091110