Browsing ECO Working Papers by Title

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Browsing ECO Working Papers by Title

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    Title: Forecasting Emerging Market Indicators: Brazil and Russia  Author(s): BYSTROV, Victor Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Forecasting Euro-Area Variables with German Pre-EMU Data  Author(s): BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, Massimiliano Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based ...
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    Title: Forecasting Exchange Rates with a Large Bayesian VAR  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
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    Title: Forecasting Government Bond Yields with Large Bayesian VARs  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: Forecasting Levels of log Variables in Vector Autoregressions  Author(s): BARDSEN, Gunnar; LUETKEPOHL, Helmut Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...
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    Title: Forecasting Macroeconomic Variables for the New Member States of the European Union  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2005 Type of Publication: Working Paper Series/Report no.: ECB Working Paper
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    Title: Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types ...
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    Title: Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights  Author(s): LUETKEPOHL, Helmut Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...
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    Title: The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper provides real time evidence on the usefulness of the euro area output gap as a leading indicator for inflation and growth. A genuine real-time data set for the euro area is used, including vintages of several ...
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    Title: Forecasting Realized Volatility by Decomposition  Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Forecasting Unstable and Non-Stationary Time Series  Author(s): GRILLENZONI, Carlo Date: 1993 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Forecasting with Factor-augmented Error Correction Models  Author(s): MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
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    Title: Forecasting with VARMA Models  Author(s): LUETKEPOHL, Helmut Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Fractional Integration and Cointegration Testing Using the Sample Mean  Author(s): DEMETRESCU, Matei Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: The convergence rate of the sample mean of fractionally integrated processes is exploited to build test statistics for the fractional integration parameter d of univariate series, as well as for the rank of fractional ...
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    Title: Fractional Integration in the Purchasing Power Parity  Author(s): GIL-ALANA, Luis A. Date: 1998 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Frictional Matching: Evidence from Law School Admission  Author(s): COURTY, Pascal; PAGLIERO, Mario Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We measure friction in the matching of students and law schools as the number of unnecessary student applications and school admissions that have to be undertaken per actual matriculation. We show that friction increases ...
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    Title: Friendship Selection  Author(s): RIVAS, Javier Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We model the formation of friendships as repeated cooperation within a set of heterogeneous players. The model builds around three of the most important facts about friendship: friends help each other, there is reciprocity ...
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    Title: Fringe Size and Cartel Stability  Author(s): MARTIN, Stephen Date: 1990 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: The Fully Modified OLS Estimator as a System Estimator: A Monte-Carlo Analysis  Author(s): KOSTIAL, Kristina Date: 1995 Type of Publication: Working Paper Series/Report no.: EUI ECO