Author: Jeremy NalewaikPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 70
Book Description
Incorporating Vintage Differences and Forecasts Into Markov Switching Models
Author: Jeremy NalewaikPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 70
Book Description
Brookings Papers on Economic Activity: Spring 2010
Author: David H. RomerPublisher: Brookings Institution Press
ISBN: 0815705131
Category : Business & Economics
Languages : en
Pages : 378
Book Description
Brookings Papers on Economic Activity (BPEA) provides academic and business economists, government officials, and members of the financial and business communities with timely research on current economic issues. Contents: Editors' Summary The Labor Market in the Great Recession By Michael W. L. Elsby (University of Michigan), Bart Hobijn (Federal Reserve Bank of San Francisco), and Aysegül Sahin (Federal Reserve Bank of New York) The Income- and Expenditure- Side Estimates of U.S. Output Growth By Jeremy J. Nalewaik (Board of Governors of the Federal Reserve System) The Rug Rat Race By Garey Ramey and Valerie A. Ramey (University of California, San Diego) The Crisis By Alan Greenspan (Greenspan Associates LLC) The Initial Impact of the Crisis on Emerging Market Countries By Olivier J. Blanchard (International Monetary Fund and MIT), Mitali Das (International Monetary Fund), and Hamid Faruqee (International Monetary Fund) Geographic Variation in Health Care: The Role of Private Markets By Tomas J. Philipson (University of Chicago), Seth A. Seabury (RAND Corporation), Lee M. Lockwood (University of Chicago), Dana P. Goldman (University of Southern California), and Darius Lakdawalla (Univeresity of Southern California)
Averaging Forecasts from VARs with Uncertain Instabilities
Author: Todd E. ClarkPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 70
Book Description
A body of recent work suggests commonly-used VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, different observation windows for estimation, (over-) differencing, intercept correction, stochastically time-varying parameters, break dating, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each individual method could be useful, the uncertainty inherent in any single representation of instability could mean that combining forecasts from the entire range of VAR estimates will further improve forecast accuracy. Focusing on models of U.S. output, prices, and interest rates, this paper examines the effectiveness of combination in improving VAR forecasts made with real-time data. The combinations include simple averages, medians, trimmed means, and a number of weighted combinations, based on: Bates-Granger regressions, factor model estimates, regressions involving just forecast quartiles, Bayesian model averaging, and predictive least squares-based weighting. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models and the Survey of Professional Forecasters as benchmarks.
Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
Author: Todd E. ClarkPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 102
Book Description
Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
Operational Problems and Aggregate Uncertainty in the Federal Funds Market
Author: Elizabeth KleePublisher:
ISBN:
Category : Federal funds market (United States)
Languages : en
Pages : 70
Book Description
An Efficiency Perspective on the Gains from Mergers and Asset Purchases
Author: Sugata RayPublisher:
ISBN:
Category : Consolidation and merger of corporations
Languages : en
Pages : 64
Book Description
News, Noise, and Estimates of the "true" Unobserved State of the Economy
Author: Dennis J. FixlerPublisher:
ISBN:
Category : United States
Languages : en
Pages : 74
Book Description
Estimating Probabilities of Recession in Real Time Using GDP and GDI
Author: Jeremy NalewaikPublisher:
ISBN:
Category : Recessions
Languages : en
Pages : 74
Book Description
Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors
Author: David ReifschneiderPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 78
Book Description
A Guide to Econometrics
Author: Peter KennedyPublisher: John Wiley & Sons
ISBN: 1405182571
Category : Business & Economics
Languages : en
Pages : 608
Book Description
Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.