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We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...
Persistent link: https://www.econbiz.de/10015199442
This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a "large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...
Persistent link: https://www.econbiz.de/10011604726
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
distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …
Persistent link: https://www.econbiz.de/10011605581
provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …
Persistent link: https://www.econbiz.de/10011606017
as a pseudo real time forecasting exercise, i.e. due account is taken of the pattern of available monthly variables over …
Persistent link: https://www.econbiz.de/10011605021
In this article, we present a new perspective on forecasting technology adoption, focused on the extensive margin of …
Persistent link: https://www.econbiz.de/10014278378
Commodity prices co-move, but the strength of this co-movement changes over time due to structural factors, like changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper explores whether econometric models that exploit this...
Persistent link: https://www.econbiz.de/10014543637
. The forecasting accuracy and the ability to mimic the path of the Eurosystem projections suggest that the model is a valid …
Persistent link: https://www.econbiz.de/10012142071
forecasts, mainly due to over-confident forecasts of the BVARs during the Great Recession. Combinations with limited weight …
Persistent link: https://www.econbiz.de/10012422040