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Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …

Persistent link: https://www.econbiz.de/10005779020

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Persistent link: https://www.econbiz.de/10005714295

Program Evaluation and Research Designs

DiNardo, John Enrico; Lee, David S. - National Bureau of Economic Research (NBER) - 2010

This chapter provides a selective review of some contemporary approaches to program evaluation. One motivation for our review is the recent emergence and increasing use of a particular kind of "program" in applied microeconomic research, the so-called Regression Discontinuity (RD) Design of...

Persistent link: https://www.econbiz.de/10008627157

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, Francis - National Bureau of Economic Research (NBER) - 2012

The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-)...

Persistent link: https://www.econbiz.de/10010796678

Regression-Based Tests of Predictive Ability

West, Kenneth D.; McCracken, Michael W. - National Bureau of Economic Research (NBER) - 1998

to account for error introduced by estimation of these parameters. We propose computationally convenient test statistics …

Persistent link: https://www.econbiz.de/10005601529

Can Exchange Rates Forecast Commodity Prices?

Rogoff, Kenneth S; Rossi, Barbara; Chen, Yu-Chin - National Bureau of Economic Research (NBER) - 2008

We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward markets in...

Persistent link: https://www.econbiz.de/10005830811

The Continuing Puzzle of Short Horizon Exchange Rate Forecasting

Rogoff, Kenneth S; Stavrakeva, Vania - National Bureau of Economic Research (NBER) - 2008

Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time...

Persistent link: https://www.econbiz.de/10005710862

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D.; Cho, Dongchul - National Bureau of Economic Research (NBER) - 1994

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10005725323

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert; Hoerova, Marie - National Bureau of Economic Research (NBER) - 2013

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora...

Persistent link: https://www.econbiz.de/10011095630

Inflation in the Great Recession and New Keynesian Models

Del Negro, Marco; Giannoni, Marc P.; Schorfheide, Frank - National Bureau of Economic Research (NBER) - 2014

It has been argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent great recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis...

Persistent link: https://www.econbiz.de/10011212816