Showing 1 - 10 of 486
This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the Dutch disease and the resource curse, which primarily focus on short run...
Persistent link: https://www.econbiz.de/10010326726
Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...
Persistent link: https://www.econbiz.de/10011480480
This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the 'Dutch disease' and the 'resource curse', which primarily focuses on...
Persistent link: https://www.econbiz.de/10010281789
Rainfall is a truly exogeneous variable and hence popular as an instrument for many outcomes. But by its very nature, rainfall in nearby areas tends to be correlated. I show theoretically that if there are also spatial trends in outcomes of interest, this may create spurious correlation. In...
Persistent link: https://www.econbiz.de/10010531836
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012179853
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012269545
We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...
Persistent link: https://www.econbiz.de/10014290103
Survey forecasts are prone to entry and exit of forecasters as well as forecasters not contributing every period leading to gaps. These gaps make it difficult to compare individual forecasters to each other and raises the question of how to deal with the missing observations. This is addressed...
Persistent link: https://www.econbiz.de/10014290113
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014377424
This paper looks into the ’fine print’ of boosting for economic forecasting. By using German industrial production for the period from 1996 to 2014 and a data set consisting of 175 monthly indicators, we evaluate which indicators get selected by the boosting algorithm over time and four...
Persistent link: https://www.econbiz.de/10011431219