Showing 1 - 10 of 1,364
We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number … significantly improves the predictability of recessions at shorter horizons. Moreover, balances in broker-dealer margin accounts …
Persistent link: https://www.econbiz.de/10010404520
The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...
Persistent link: https://www.econbiz.de/10014198891
The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...
Persistent link: https://www.econbiz.de/10014072195
We propose the adaptive elastic net for estimating Vector Autoregressions. Unlike competing methods, this estimator preserves the standard structural-VAR toolkit but at the same time leads to accurate forecasts. We show validity of the bootstrap in constructing unconditional-on-model-selection...
Persistent link: https://www.econbiz.de/10013052239
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...
Persistent link: https://www.econbiz.de/10012038824
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for “online” estimation, and...
Persistent link: https://www.econbiz.de/10012865218
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...
Persistent link: https://www.econbiz.de/10012865980
reasonable forecasting performance in particular in terms of GDP and core in ation vis-a-vis a set of benchmarks. …
Persistent link: https://www.econbiz.de/10012429180
Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model …
Persistent link: https://www.econbiz.de/10014333331
Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which...
Persistent link: https://www.econbiz.de/10013256541