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Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7008Abstract: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 ...
Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7008Abstract: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 ...
Title:A measure for credibility : tracking US monetary developments Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2008Type:Working PaperSeries/Number:DNB Working Paper; 2008/187Abstract:Our objective is to identify a way of checking empirically the extent to which expectations are de-coupled from inflation, how well they might be anchored in the long run, and at what level. This methodology allows us then ...
; VIEGI, NicolaDate:2008Type:Working PaperSeries/Number:DNB Working Paper; 2008/187Abstract:Our objective is to identify a way of checking empirically the extent to which expectations are de-coupled from inflation, how well they might be anchored in the long run, and at what level. This methodology allows us then ...
Title:A shrinkage instrumental variable estimator for large datasets Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...
Title:Forecasting with dynamic models using shrinkage-based estimation Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...
Title:Factor-MIDAS for now- and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/333Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/333Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
Title:Cross-sectional averaging and instrumental variable estimation with many weak instruments Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/627Abstract:Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where ...
Title:Path forecast evaluation Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:University of California; Department of Economics; Working Papers; 2008/85Abstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given conÖdence level requires construction of simultaneous ...
Date:2008Type:Working PaperSeries/Number:University of California; Department of Economics; Working Papers; 2008/85Abstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given conÖdence level requires construction of simultaneous ...
Title:Path forecast evaluation Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7009Abstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous ...
Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7009Abstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous ...
Title:Factor-MIDAS for now- and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:Deutsche Bundesbank; Discussion Paper; Series 1: Economic Studies; 2007/34Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
; SCHUMACHER, ChristianDate:2007Type:Working PaperSeries/Number:Deutsche Bundesbank; Discussion Paper; Series 1: Economic Studies; 2007/34Abstract:This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
Title:Factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/6707Abstract:This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/6707Abstract:This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...