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Macroeconomic Forecasting and Structural Change

D'Agostino, Antonello - 2010

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

Persistent link: https://www.econbiz.de/10013146503

Priors for the Long Run

Giannone, Domenico - 2018

We propose a class of prior distributions that discipline the long-run behavior of Vector Autoregressions (VARs). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time series in the long run. Our priors for the long run...

Persistent link: https://www.econbiz.de/10012926335

Estimating Multi-Country VAR Models

Canova, Fabio - 2006

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

Persistent link: https://www.econbiz.de/10012780504

The Role of Financial Variables in Predicting Economic Activity

Espinoza, Raphael A. - 2009

Previous research has shown that the US business cycle leads the European cycle by a few quarters, and can therefore help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR model of the US and the euro area GDPs and extend it to...

Persistent link: https://www.econbiz.de/10013155113

Conditional Density Forecasting : A Tempered Importance Sampling Approach

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022

This paper proposes a new and robust methodology to obtain conditional density forecasts, based on information not contained in an initial econometric model. The methodology allows to condition on expected marginal densities for a selection of variables in the model, rather than just on future...

Persistent link: https://www.econbiz.de/10014237994

Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

Bańbura, Marta; Modugno, Michele - 2021

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10013316214

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10013317369

Nowcasting

Banbura, Marta - 2010

We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...

Persistent link: https://www.econbiz.de/10013135504

Survey-Based Nowcasting of US Growth : A Real-Time Forecast Comparison Over More than 40 Years

D'Agostino, Antonello - 2012

Reliable and timely information about current economic conditions is crucial for policy makers and expectations formation. This paper demonstrates the efficacy of the Survey of Professional Forecasters (SPF) and the Purchasing Manager Indices (PMI) in anticipating US real economic activity. We...

Persistent link: https://www.econbiz.de/10013103559