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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

Persistent link: https://www.econbiz.de/10010512536

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021

Business tendency surveys and macroeconomic fluctuations

Kaufmann, Daniel; Scheufele, Rolf - 2015

encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …

Persistent link: https://www.econbiz.de/10010508347

The FRBNY Staff Underlying Inflation Gauge : UIG

Amstad, Marlene; Potter, Simon M.; Rich, Robert W. - 2014

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

Persistent link: https://www.econbiz.de/10010404156

Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10010414783

Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10011350384

An estimated two-country EA-US model with limited exchange rate pass-through

De Walque, Gregory; Jeanfils, Philippe; Lejeune, Thomas; … - 2017

out-of-sample forecasting exercise and is able to reproduce most of the cross-series co-variances observed in the data. It …

Persistent link: https://www.econbiz.de/10011635009

Nowcasting employment in the euro area

Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023

performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates …

Persistent link: https://www.econbiz.de/10014315194

Monthly recession predictions in real time : a density forecast approach for German industrial production

Rietzler, Katja; Stephan, Sabine - 2012

In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...

Persistent link: https://www.econbiz.de/10009616512

Bayesian Inference for the Mixed-Frequency VAR Model

Viefers, Paul - 2011

In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to...

Persistent link: https://www.econbiz.de/10014042148