Results 151 to 160 of about 2,407 (254)

DSGE Model Forecasting: Rational Expectations Versus Adaptive Learning

open access: yesJournal 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

Forecasting With Dynamic Factor Models Estimated by Partial Least Squares

open access: yesJournal 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

Point and Risk estImation Using an enSemble of Models for Nowcasting: PRISM‐Now

open access: yesJournal of Forecasting, EarlyView.
ABSTRACT We propose PRISM‐Now, a novel ensemble forecasting system for near‐term GDP projection. Recognizing that relevant economic information evolves over time, we treat forecasts from multiple base models as draws from a mixture distribution of “good” and “bad” estimates, whose composition changes continuously and cannot be identified ex ante.
Beomseok Seo, Hyungbae Cho, Dongjae Lee
wiley   +1 more source

The Role of Coincident Information in Real‐Time Business Cycle Forecasting

open access: yesJournal of Forecasting, EarlyView.
ABSTRACT Official NBER recession dates are announced with substantial delay. Therefore, real‐time forecasters cannot condition on the most recent business cycle states even though recessions and expansions are highly persistent. I study whether real‐time coincident releases can substitute for this missing information. At each monthly forecast origin, I
Visa Kuntze
wiley   +1 more source

Home - About - Disclaimer - Privacy