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Forecasting Economic Aggregates by Disaggregates

Hendry, David F; Hubrich, Kirstin - C.E.P.R. Discussion Papers - 2006

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in...

Persistent link: https://www.econbiz.de/10005123796

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...

Persistent link: https://www.econbiz.de/10005530754

Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics

Ardakani, Omid; Kishor, N. Kundan - Volkswirtschaftliche Fakultät, … - 2014

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

Persistent link: https://www.econbiz.de/10011113487

How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2005

This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models...

Persistent link: https://www.econbiz.de/10005661494

Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?

Ibarra-Ramírez, Raúl - Banco de México - 2010

In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set...

Persistent link: https://www.econbiz.de/10008494216

Do disaggregated CPI data improve the accuracy of inflation forecasts?

Ibarra, Raul - In: Economic Modelling 29 (2012) 4, pp. 1305-1313

In this paper, we evaluate the role of using consumer price index (CPI) disaggregated data to improve the accuracy of inflation forecasts. Our forecasting approach is based on extracting the factors from the subcomponents of the CPI at the highest degree of disaggregation. The data set contains...

Persistent link: https://www.econbiz.de/10010573296

Short and long run causality measures: theory and inference

Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

Persistent link: https://www.econbiz.de/10005111024

Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012

We show that the adaptive Lasso (aLasso) and the adaptive group Lasso (agLasso) are oracle efficient in stationary vector autoregressions where the number of parameters per equation is smaller than the number of observations. In particular, this means that the parameters are estimated...

Persistent link: https://www.econbiz.de/10010851261

Forecasting Austrian Inflation

Moser, Gabriel; Rumler, Fabio; Scharler, Johann - Oesterreichische Nationalbank - 2004

In this paper we apply factor models proposed by Stock and Watson [18] and VAR and ARIMA models to generate 12-month … accuracy can be further improved by combining the information contained in factor and VAR models for some indices. With respect …

Persistent link: https://www.econbiz.de/10005802644

Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?

Manzan, Sebastiano; Zerom, Dawit - Volkswirtschaftliche Fakultät, … - 2009

no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …

Persistent link: https://www.econbiz.de/10005836192