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Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive deﬁnite matrix estimate...

Persistent link: https://www.econbiz.de/10009639403

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

statistical averaging effect. Finally the out-of-sample forecasting performance of both approaches is evaluated. The results point …

Persistent link: https://www.econbiz.de/10009639854

Imposing parsimony in cross-country growth regressions

Jarociński, Marek - 2010

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10009640306

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

Persistent link: https://www.econbiz.de/10009640464

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10009640913

Comparing economic dynamics in the EU and CEE accession countries

Süppel, Ralph - 2003

This paper presents evidence for structural differences in economic growth dynamics between the current EU and the central- and eastern European accession countries. Two important results emerge from the analysis. First, accession countries have posted higher average growth and wider output...

Persistent link: https://www.econbiz.de/10009635910

Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous

Barnett, William A. - 2003

We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European Monetary Union (EMU). We develop three increasingly restrictive approaches: (1) the heterogeneous agents approach, (2) the multilateral representative agent approach, and (3) the...

Persistent link: https://www.econbiz.de/10009635917

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953