Showing 1 - 10 of 1,058
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
In this paper, we compare two fundamentally different judgmental demand forecasting approaches used to estimate demand and their corresponding demand distributions. In the first approach, parameters are obtained from a linear regression and maximum likelihood estimation (MLE) based on team...
Persistent link: https://www.econbiz.de/10012991799
This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor...
Persistent link: https://www.econbiz.de/10013159077
We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...
Persistent link: https://www.econbiz.de/10010404520
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
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, document the accuracy and runtime benefits o fgeneralized data tempering for “online” estimation...
Persistent link: https://www.econbiz.de/10014097669
We use past forecast errors to construct confidence intervals and other estimates of uncertainty around the Reserve Bank of Australia's forecasts of key macroeconomic variables. Our estimates suggest that uncertainty about forecasts is high. We find that the RBA's forecasts have substantial...
Persistent link: https://www.econbiz.de/10013065084
This study focused on the choice of functional forms and their parametrization (estimation of free parameters and calibration of other parameters) in the context of CGE models. Various types of elasticities are defined, followed by a presentation of the functional forms most commonly used in...
Persistent link: https://www.econbiz.de/10014058746