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Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano
; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract: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 ...
; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract: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 ...