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Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

statistical averaging effect. Finally the out-of-sample forecasting performance of both approaches is evaluated. The results point …

Persistent link: https://www.econbiz.de/10009639854

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

Persistent link: https://www.econbiz.de/10009640464

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10009640913

Oil price shocks and real GDP growth

Jiménez-Rodríguez, Rebeca; Sánchez, Marcelo - 2004

This paper assesses empirically the effects of oil price shocks on the real economic activity of the main industrialised countries. Multivariate VAR analysis is carried out using both linear and nonlinear models. The latter category includes three approaches employed in the literature, namely,...

Persistent link: https://www.econbiz.de/10009639416

Saudi Aramco and the oil market

Nakov, Anton; Nuño, Galo - 2011

We present a general equilibrium model of the global oil market, in which the oil price, oil production, and consumption, are jointly determined as outcomes of the optimizing decisions of oil importers and oil exporters. On the supply side the oil market is modelled as a dominant firm – Saudi...

Persistent link: https://www.econbiz.de/10009640843

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive deﬁnite matrix estimate...

Persistent link: https://www.econbiz.de/10009639403

Imposing parsimony in cross-country growth regressions

Jarociński, Marek - 2010

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10009640306

Short-term estimates of euro area real GDP by means of monthly data

Rünstler, Gerhard; Sédillot, Franck - 2003

, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide …

Persistent link: https://www.econbiz.de/10009635895