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Forecasts from dynamic factor models potentially benefit from refining the data set by eliminating uninformative series. The paper proposes to use prediction weights as provided by the factor model itself for this purpose. Monte Carlo simulations and an empirical application to short-term...
Persistent link: https://www.econbiz.de/10011605938
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...
Persistent link: https://www.econbiz.de/10012422033
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012422115
We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across...
Persistent link: https://www.econbiz.de/10012422130
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012422133
We document the impact of COVID-19 on frequently employed time series models, with a focus on euro area in ation. We show that for both single equation models (Phillips curves) and Vector Autoregressions (VARs) estimated parameters change notably with the pandemic. In a VAR, allowing the errors...
Persistent link: https://www.econbiz.de/10012605254
Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their...
Persistent link: https://www.econbiz.de/10012661632
Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...
Persistent link: https://www.econbiz.de/10011604668
We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...
Persistent link: https://www.econbiz.de/10011604797
the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …
Persistent link: https://www.econbiz.de/10011916879