-
1by Poncela, Pilar Ruiz, Esther Miranda, Karen Published in International journal of forecasting (01.03.2021)“...Dynamic factor models have been the main “big data” tool used by empirical macroeconomists during the last 30 years. In this context, Kalman filter and...”
-
2by Cipullo, Davide“...Essay 1: This essay investigates the impact of voter support on the representation of women in the political profession. The empirical analysis exploits...”
2021
-
3“...In this paper, we use survey data to analyze the accuracy, unbiasedness and efficiency of professional macroeconomic forecasts. We analyze a large panel of...”
-
4“...There is strong evidence of structural changes in macroeconomic time series, and the forecasting performance is often sensitive to the choice of estimation...”
-
5by Aruoba, S. Borağan Diebold, Francis X Scotti, Chiara Published in Journal of business & economic statistics (01.10.2009)“...We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed...”
-
6“...This paper investigates the macroeconomic projections of the German government since the 1970s and compares it to those of the Joint Economic Forecast, which...”
-
7by Charemza, Wojciech Díaz, Carlos Makarova, Svetlana Published in International journal of forecasting (01.07.2019)“...We propose a measure of the effects of monetary policy based on an analysis of the distribution of the ex-post inflation forecast uncertainty. We argue that...”
-
8by Proietti, Tommaso Published in International journal of forecasting (01.01.2018)“...The article by David Hendry provides a clear and synthetic outline of his methodology for empirical model discovery and theory evaluation in macroeconomics. My...”
-
9“...•We propose a forecast combination method that exploits the ‘forecast combination puzzle’•Rather than averaging over all forecasts, our method optimally...”
-
10“...We discuss model and forecast combination in time series forecasting. A foundational Bayesian perspective based on agent opinion analysis theory defines a new...”
-
11by Schorfheide, Frank Song, Dongho Published in Journal of business & economic statistics (03.07.2015)“...This article develops a vector autoregression (VAR) for time series which are observed at mixed frequencies-quarterly and monthly. The model is cast in...”
-
12“...We study the forecasting power of financial variables for macroeconomic variables in 62 countries between 1980 and 2013. We find that financial variables such...”
-
13by Groen, Jan J.J Kapetanios, George Published in Computational statistics & data analysis (01.08.2016)“...The properties of a number of data-rich methods that are widely used in macroeconomic forecasting are analyzed. In particular, this analysis focuses on...”
-
14by Franses, Philip Hans Kranendonk, Henk C Lanser, Debby Published in International journal of forecasting (2011)“...The Netherlands Bureau for Economic Policy Analysis (CPB) uses a large macroeconomic model to create forecasts of various important macroeconomic variables...”
-
15by Akgun, Oguzhan Pirotte, Alain Urga, Giovanni Published in International journal of forecasting (01.10.2020)“...In this paper, we focus on forecasting methods that use heterogeneous panels in the presence of cross-sectional dependence in terms of both spatial error...”
-
16by Aromi, J. Daniel Published in International journal of forecasting (01.10.2020)“...This paper develops indicators of unstructured press information by exploiting word vector representations. A model is trained using a corpus covering 90 years...”
-
17by Chernis, Tony Cheung, Calista Velasco, Gabriella Published in International journal of forecasting (01.07.2020)“...This paper estimates a three-frequency dynamic factor model for nowcasting the Canadian provincial gross domestic product (GDP). The Canadian provincial GDP at...”
-
18by Richardson, Adam van Florenstein Mulder, Thomas Vehbi, Tuğrul Published in International journal of forecasting (01.04.2021)“...Can machine-learning algorithms help central banks understand the current state of the economy? Our results say yes! We contribute to the emerging literature...”
-
19“...We incorporate external information extracted from the European Central Bank’s Survey of Professional Forecasters into the predictions of a Bayesian VAR using...”
-
20Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsityby Cross, Jamie L Hou, Chenghan Poon, Aubrey Published in International journal of forecasting (01.07.2020)“...A class of global-local hierarchical shrinkage priors for estimating large Bayesian vector autoregressions (BVARs) has recently been proposed. We question...”