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Factor models for non-stationary series : estimates of monthly U.S. GDP
Hengge, Martina; Leonard, Seton - 2017
order 1. We then apply our approach to a mixed frequency model which we use to estimate monthly U.S. GDP from May 1969 to …-time GDP nowcasts over the 2007 to 2009 financial crisis. This last exercise shows that a GDP index, as opposed to real time … estimates of GDP itself, may be more helpful in highlighting changes in the state of the macroeconomy. …
Persistent link: https://www.econbiz.de/10011669132
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
German GDP. Our recursive out-of-sample forecast evaluation results reveal that our framework is able to generate forecasts …
Persistent link: https://www.econbiz.de/10012119825
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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
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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
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379
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Estimating and forecasting the impact of inflation on economic growth in Nigeria using threshold analysis
Okoroafor, David O. K.; Adeniji, Sesan O.; Olasehinde, … - In: CBN journal of applied statistics 9 (2018) 1, pp. 1-22
forecasting of inflation in Nigeria for the period of 1961 { 2016. The study employed Granger causality test, Au- toregressive … economic growth granger cause inflation during the period of study. Using broad money supply to GDP as control variable, an … inflation threshold of 14% -15% both in the short run and long run was established for Nigeria. As for the forecasting of …
Persistent link: https://www.econbiz.de/10011922677
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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FRED-MD : a monthly database for macroeconomic research
McCracken, Michael W.; Ng, Serena - 2015
Persistent link: https://www.econbiz.de/10011297664
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Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
Gupta, Rangan; Olson, Eric; Wohar, Mark E. - In: Journal of forecasting 36 (2017) 6, pp. 640-650
Persistent link: https://www.econbiz.de/10011861401
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FRED-MD : a monthly database for macroeconomic research
McCracken, Michael W.; Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 574-589
Persistent link: https://www.econbiz.de/10011692412