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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 ...
Title:Structural Vector Autoregressions with Markov Switching Author(s):LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract:Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...
; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract:Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts Author(s):JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Title:Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/17Abstract:Many contemporaneously aggregated variables have stochasticaggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/17Abstract:Many contemporaneously aggregated variables have stochasticaggregation weights. We compare different forecasts for such variables including univariate forecasts of the aggregate, a multivariate forecast of the aggregate ...
Title:Forecasting Levels of log Variables in Vector Autoregressions Author(s):BARDSEN, Gunnar; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/24Abstract: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 ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/24Abstract: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 ...
Title:Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s):HERWARTZ, Helmut; LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...