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Title:Forecasting large datasets with reduced rank multivariate models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract: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 with the ...
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract: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 with the ...
Title:Monitoring the economy of the Euro area : a comparison of composite coincident indexes Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/319Abstract:Monitoring the current status of the economy is quite relevant for policy making but also for the decisions of private agents, consumers and firms. Since it is difficult to identify a single variable that provides a good ...
Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/319Abstract:Monitoring the current status of the economy is quite relevant for policy making but also for the decisions of private agents, consumers and firms. Since it is difficult to identify a single variable that provides a good ...
Title:A comparison of methods for the construction of composite coincident and leading indexes for the UK Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/590Abstract:In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of ...
Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/590Abstract:In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of ...
Title:No arbitrage priors, drifting volatilities, and the term structure of interest rates Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9848Abstract:We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispeciÖcation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the ...
Date:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9848Abstract:We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispeciÖcation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the ...
Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2014/11Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Date:2014Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2014/11Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/13Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Date:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/13Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...
Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract: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:Queen Mary University of London; Working Papers; 2008/634Abstract: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:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate: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 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 ...