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Macroeconomic Forecasting and Structural Change
D'Agostino, Antonello - 2010
predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation …
Persistent link: https://www.econbiz.de/10013146503
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Forecast Performance in the ECB SPF : Ability or Chance?
Meyler, Aidan - 2020
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best …
Persistent link: https://www.econbiz.de/10012842351
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Professional Forecasters and the Real-time Forecasting Performance of an Estimated New Keynesian Model for the Euro Area
Smets, Frank - 2013
This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets, and Wouters (2012) estimated on euro area data. It investigates to what extent forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting...
Persistent link: https://www.econbiz.de/10013078530
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Combining the Forecasts in the ECB Survey of Professional Forecasters : Can Anything Beat the Simple Average?
Genre, Véronique; Kenny, Geoff; Meyler, Aidan; … - 2021
unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast …
Persistent link: https://www.econbiz.de/10013316124
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Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance
Manescu, Cristiana - 2015
This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes … propose a forecast combination approach to predict quarterly real Brent oil prices. A four-model combination (consisting of … than the futures and the random walk up to 11 quarters ahead, on average, and generates a forecast whose performance is …
Persistent link: https://www.econbiz.de/10013032606
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Forecast Evaluation of Small Nested Model Sets
Hubrich, Kirstin; West, Kenneth D. - 2021
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10013316398
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The Italian Block of the Escb Multi-Country Model
Angelini, Elena; D'Agostino, Antonello; McAdam, Peter - 2021
This paper documents the structure, estimation and simulation properties of the Italian block of the ESCB … simulation analysis. The specification of the Italian model follows closely that of the Area-Wide Model (AWM) and indeed the …
Persistent link: https://www.econbiz.de/10013317555
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The German Block of the Escb Multi-Country Model
Vetlov, Igor; Warmedinger, Thomas - 2021
The paper presents the German block of the ESCB multi-country model. It builds on previous modelling work on the Area Wide Model and other country blocks of the ESCB multicountry-model. Whilst being analogous to these models in following a common modelling approach and the same theoretical...
Persistent link: https://www.econbiz.de/10013317558
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The Dutch Block of the Escb Multi-Country Model
Ciccarelli, Matteo; Angelini, Elena; Boissay, Frédéric - 2021
The paper presents the Dutch country block of the ESCB Multi-Country Model(MCM) for the euro area. We show how a theoretical model is translated into an econometric specification and how this specification is in turn estimated and used in the projection exercises of the E(S)CB. The dynamic...
Persistent link: https://www.econbiz.de/10013317570
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The Dutch block of the ESCB multi-country model
Angelini, Elena; Boissay, Frédéric; Ciccarelli, Matteo - 2006
The paper presents the Dutch country block of the ESCB Multi-Country Model (MCM) for the euro area. We show how a theoretical model is translated into an econometric specification and how this specification is in turn estimated and used in the projection exercises of the E(S)CB. The dynamic...
Persistent link: https://www.econbiz.de/10011604692