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Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Persistent link: https://www.econbiz.de/10012904559

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

Persistent link: https://www.econbiz.de/10003889053

Dynamic Term Structure Models : The Best Way to Enforce the Zero Lower Bound in the United States

Andreasen, Martin M. - 2015

Campbell-Shiller regressions are generally better matched by the SRMs, which also outperform the QTSMs when forecasting bond …

Persistent link: https://www.econbiz.de/10013014541

Forecasting Private Consumption: Survey-based Indicators vs. Google Trends

Schmidt, Torsten; Vosen, Simeon - 2009

application Insights for Search. The forecasting performance of the new indicator is assessed relative to the two most common … Index. The results show that in almost all conducted in-sample and out-of-sample forecasting experiments the Google …

Persistent link: https://www.econbiz.de/10010332967

Forecasting with many predictors - Is boosting a viable alternative?

Buchen, Teresa; Wohlrabe, Klaus - 2010

comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the …

Persistent link: https://www.econbiz.de/10010427583

A munkaerő-piaci előrejelzések nemzetközi gyakorlata: Áttekintés a kvantitatív módszerekről és felhasználásukról 12 ország és az Európai Unió előrejelzési tapasztalatai alapján

Gács, János; Bíró, Anikó - 2013

The study presents a comprehensive overview of labour market forecasting activities, mostly quantitative, based on … and benchmarks for similar forecasting exercises in Hungary. After outlining the basic model of quantitative labour market … forecasting the paper identifies the technical conditions of model building and model quantification, as well as the …

Persistent link: https://www.econbiz.de/10010494734

Do FOMC members herd?

Rülke, Jan-Christoph; Tillmann, Peter - 2010

Twice a year FOMC members submit forecasts for growth, unemplyoment and in ation to be published in the Humphrey-Hawkins Report to Congress. In this paper we use individual FOMC forecasts to assess whether these forecasts exhibit herding behavior, a pattern often found in private sector...

Persistent link: https://www.econbiz.de/10010286382

Forecasting with many predictors : is boosting a viable alternative?

Buchen, Teresa; Wohlrabe, Klaus - 2010

comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the …

Persistent link: https://www.econbiz.de/10008757436

Factor models for non-stationary series : estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

Persistent link: https://www.econbiz.de/10011669132

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …

Persistent link: https://www.econbiz.de/10010330969