Showing 1 - 10 of 29
product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …
Persistent link: https://www.econbiz.de/10013483516
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10010328558
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/10010512954
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/10011307784
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/10011371996
-time forecasting exercise, the authors show that including additional factors - that reflect financial sector conditions - improves …
Persistent link: https://www.econbiz.de/10011478670
Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for...
Persistent link: https://www.econbiz.de/10010287106
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/10011269107
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/10011240546
In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the...
Persistent link: https://www.econbiz.de/10011853300