Showing 1 - 10 of 102
Persistent link: https://www.econbiz.de/10003094829
Data, data, data…. Economists know their importance well, especially when it comes to monitoring macroeconomic conditions—the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced...
Persistent link: https://www.econbiz.de/10014111651
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate...
Persistent link: https://www.econbiz.de/10012921051
Persistent link: https://www.econbiz.de/10012882035
The term now-casting is a contraction for now and forecasting and has been used for a long time in meteorology and recently also in economics. In this chapter we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market...
Persistent link: https://www.econbiz.de/10014025545
We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...
Persistent link: https://www.econbiz.de/10013135504
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....
Persistent link: https://www.econbiz.de/10013099106
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...
Persistent link: https://www.econbiz.de/10013146503
This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...
Persistent link: https://www.econbiz.de/10013047977
We propose a class of prior distributions that discipline the long-run behavior of Vector Autoregressions (VARs). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time series in the long run. Our priors for the long run...
Persistent link: https://www.econbiz.de/10012926335