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Garegnani, Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

Asymptotic Confidence Bands for the Estimated Autocovariance and Autocorrelation Functions of Vector Autoregressive Models

Coenen, Günter - 2021

This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...

Persistent link: https://www.econbiz.de/10013320327

Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients

Canepa, Alessandra - 2020

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...

Persistent link: https://www.econbiz.de/10012843786

Comparing Semi-Structural Methods to Estimate Unobserved Variables : The HPMV and Kalman Filters Approaches

Boone, Laurence - 2000

Economists often seek to estimate unobserved variables, representing “equilibrium” or “expected” values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for...

Persistent link: https://www.econbiz.de/10012445291

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Forecasting inflation in Argentina

Garegnani, Lorena; Gómez Aguirre, Mauricio - 2018

During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...

Persistent link: https://www.econbiz.de/10011846246

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010407100

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …

Persistent link: https://www.econbiz.de/10011667109

Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10011585058