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Detecting and predicting forecast breakdowns

Giacomini, Raffaella; Rossi, Barbara - 2006

of a forecast breakdown in the Phillips’ curve forecasts of U.S. inflation, and links it to inflation volatility and to …

Persistent link: https://www.econbiz.de/10011604684

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011604242

A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - 2004

In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain … principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of …

Persistent link: https://www.econbiz.de/10011604351

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10011604367

Euro area inflation persistence in an estimated nonlinear DSGE model

Amisano, Gianni; Tristani, Oreste - 2007

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

Persistent link: https://www.econbiz.de/10011604800

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Amisano, Gianni; Tristani, Oreste - 2021

Persistent link: https://www.econbiz.de/10013317094

Modelling inflation in China - a regional perspective

Mehrotra, Aaron N.; Peltonen, Tuomas A.; Santos Rivera, … - 2007

We model provincial inflation in China during the reform period. In particular, we are interested in the ability of the … hybrid New Keynesian Phillips Curve (NKPC) to capture the inflation process at the provincial level. The study highlights … differences in inflation formation and shows that the NKPC provides a reasonable description of the inflation process only for the …

Persistent link: https://www.econbiz.de/10011604875

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Paesani, Paolo; Onorante, Luca - 2010

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … can achieve lower inflation uncertainty by lowering the inflation rate. …

Persistent link: https://www.econbiz.de/10011605275

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10011604241

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10011604260