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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …
Persistent link: https://www.econbiz.de/10013044329
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Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Groen, Jan J. - 2009
, principal components, and Bayesian regressions to a large panel of monthly U.S. macroeconomic data to forecast key variables …
Persistent link: https://www.econbiz.de/10012720604
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DSGE Model-Based Forecasting
Del Negro, Marco - 2012
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes — forecasting, story telling, and...
Persistent link: https://www.econbiz.de/10013109548