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estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …
Persistent link: https://www.econbiz.de/10012842441
We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...
Persistent link: https://www.econbiz.de/10014257125
This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...
Persistent link: https://www.econbiz.de/10011604547
This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No...
Persistent link: https://www.econbiz.de/10011604509
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can …
Persistent link: https://www.econbiz.de/10013020592
This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...
Persistent link: https://www.econbiz.de/10013315353
In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...
Persistent link: https://www.econbiz.de/10013054084
heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical …
Persistent link: https://www.econbiz.de/10013154951
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
In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...
Persistent link: https://www.econbiz.de/10011604460