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Long-run forecasting in multicointegrated systems
Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003
We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …
Persistent link: https://www.econbiz.de/10011439254
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Business confidence and forecasting of housing prices and rents in large German cities
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss - 2014
predict the dynamics of home rents and prices in the nearest future. In this paper, we evaluate the forecasting ability of 115 … framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears to dominate all …
Persistent link: https://www.econbiz.de/10011505867
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A dynamic panel data approach to the forecasting of the GDP of German Länder
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss; … - 2007 - Corrected version
even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …
Persistent link: https://www.econbiz.de/10012039490
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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015
predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …
Persistent link: https://www.econbiz.de/10011399325
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Short-term forecasting with mixed-frequency data : a MIDASSO approach
Siliverstovs, Boriss - 2015
regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10010498420
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Common factors of commodity prices
Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - 2017
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/10011747697
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Dissecting models' forecasting performance
Siliverstovs, Boriss - 2015
In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …
Persistent link: https://www.econbiz.de/10011382631
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Wohnimmobilien in Großstädten : Kaufpreise steigen auch 2014 schneller als Mieten
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss - In: DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft 80 (2013) 49, pp. 23-31
Die Kaufpreise für Eigentumswohnungen sind seit Beginn des Jahres 2010 um durchschnittlich sechs Prozent gegenüber dem jeweiligen Vorjahresquartal gestiegen. Die Wachstumsraten der Mietpreise haben mit vier Prozent deutlich weniger zugenommen, liegen aber ebenfalls oberhalb der allgemeinen...
Persistent link: https://www.econbiz.de/10010221703
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Business confidence and forecasting of housing prices and rents in large German cities
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss - 2014
In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 … tested in a framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears …
Persistent link: https://www.econbiz.de/10010238830
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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