Results 131 to 140 of about 70,827 (296)

The Impact of Uncertainty on Forecasting the US Economy

Journal of Forecasting, EarlyView.
ABSTRACT This paper examines the predictive value of uncertainty measures for key macroeconomic indicators across multiple forecast horizons. We evaluate how different uncertainty proxies—economic policy uncertainty (EPU), VIX, geopolitical risk, and measures of macroeconomic and financial uncertainty—enhance forecast accuracy for industrial production,
Angelica Ghiselli
wiley   +1 more source

A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia [PDF]

By employing an Autoregressive Distributed Lag (ARDL) approach to cointegration, this paper presents the results of a new empirical study on short-run and long-run relationships between the Cambodian parallel and the official exchange rates.
Sovannroeun Samreth
core  

Long-memory process and aggregation of AR(1) stochastic processes: A new characterization [PDF]

, 2015
Contemporaneous aggregation of individual AR(1) random processes might lead to different properties of the limit aggregated time series, in particular, long memory (Granger, 1980).
Candelpergher, Bernard, Miniconi, Michel, Pelgrin, Florian   +2 more
core   +3 more sources

Using DSGE and Machine Learning to Forecast Public Debt for France

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting public debt is essential for effective policymaking and economic stability, yet traditional approaches face challenges due to data scarcity. While machine learning (ML) has demonstrated success in financial forecasting, its application to macroeconomic forecasting remains underexplored, hindered by short historical time series and ...
Emmanouil Sofianos, Thierry Betti, Theophilos Papadimitriou, Amélie Barbier‐Gauchard, Periklis Gogas   +4 more
wiley   +1 more source

Impact of greenhouse gas emission, renewable energy, and economic growth on health expenditure in Southeast Asia: A comparative analysis of econometric models

Economic Journal of Emerging Markets
Purpose — The study explores the effects of greenhouse gas emissions, renewable energy, and economic growth on health expenditures across Southeast Asia while comparing the performance of different econometric models for accuracy in analysis.
Resa Mae R. Sangco
doaj   +1 more source

Financial Development and Economic Growth in Malaysia: The Stock Market Perspective [PDF]

Understanding the causal relationship between financial development and economic growth is important in enhancing the economy of a nation. Using the autoregressive distributed lag (ARDL) bounds test approach, this study finds that stock market ...
Chee Keong Choong, Siong Hook Law, Venus Liew Khim Sen, Zulkornain Yusop   +3 more
core  

Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach

Journal of Forecasting, EarlyView.
ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant, Matus Mrazik, Steve Satchell   +2 more
wiley   +1 more source

DSGE Model Forecasting: Rational Expectations Versus Adaptive Learning

Journal of Forecasting, EarlyView.
ABSTRACT This paper compares within‐sample and out‐of‐sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets, and Wouters model is the chosen laboratory using quarterly real‐time euro area data vintages, covering 2001Q1–2019Q4.
Anders Warne
wiley   +1 more source

The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach [PDF]

In this paper, we re-examine the validity of both short and long run monetary models of exchange rate for the case of the Philippines by using new approach called Autoregressive Distributed Lag (ARDL) to cointegration.
Long, Dara, Samreth, Sovannroeun
core   +4 more sources

Forecasting With Dynamic Factor Models Estimated by Partial Least Squares

Journal of Forecasting, EarlyView.
ABSTRACT Dynamic factor models (DFMs) have found great success in nowcasting and short‐term macroeconomic forecasting when incorporating large sets of predictive information. The factor loadings are typically estimated cross‐sectionally with principal component analysis (PCA) or maximum likelihood (ML), which ignore whether the factors have predictive ...
Samuel Rauhala
wiley   +1 more source