Estimation And Forecasting Using Mixed Frequency Dsge Models

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Estimation And Forecasting Using Mixed Frequency Dsge Models

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Author : Alexander Meyer-Gohde
language : en
Publisher:
Release Date : 2022

Estimation And Forecasting Using Mixed Frequency Dsge Models written by Alexander Meyer-Gohde and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.

Econometric Models For Mixed Frequency Data

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Author : Claudia Foroni
language : en
Publisher:
Release Date : 2012

Econometric Models For Mixed Frequency Data written by Claudia Foroni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Econometrics categories.

This thesis addresses different issues related to the use of mixed-frequency data. In the first chapter, I review, discuss and compare the main approaches proposed so far in the literature to deal with mixed-frequency data, with ragged edges due to publication delays: aggregation, bridge-equations, mixed-data sampling (MIDAS) approach, mixed-frequency VAR and factor models. The second chapter, a joint work with Massimiliano Marcellino, compares the different approaches analyzed in the first chapter, in a detailed empirical application. We focus on now- and forecasting the quarterly growth rate of Euro Area GDP and its components, using a very large set of monthly indicators, with a wide number of forecasting methods, in a pseudo real-time framework. The results highlight the importance of monthly information, especially during the crisis periods. The third chapter, a joint work with Massimiliano Marcellino and Christian Schumacher, studies the performance of a variant of the MIDAS model, which does not resort to functional distributed lag polynomials. We call this approach unrestricted MIDAS (U-MIDAS). We discuss the pros and cons of unrestricted lag polynomials in MIDAS regressions. In Monte Carlo experiments and empirical applications, we compare U-MIDAS to MIDAS and show that U-MIDAS performs better than MIDAS for small differences in sampling frequencies. The fourth chapter, a joint work with Massimiliano Marcellino, focuses on the issues related to mixed-frequency data in structural models. We show analytically, with simulation experiments and with actual data that a mismatch between the time scale of a DSGE or structural VAR model and that of the time series data used for its estimation generally creates identification problems, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed-frequency data can alleviate the temporal aggregation bias, mitigate the identification issues, and yield more reliable policy conclusions.

Estimating A Multivariate Arma Model With Mixed Frequency Data

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Author : Peter A. Zadrozny
language : en
Publisher:
Release Date : 1990

Estimating A Multivariate Arma Model With Mixed Frequency Data written by Peter A. Zadrozny and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Economic forecasting categories.

Online Estimation Of Dsge Models

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Author : Michael D. Cai
language : en
Publisher:
Release Date : 2020

Online Estimation Of Dsge Models written by Michael D. Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for "online" estimation (that is, re-estimating a model as new data become available), and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts and study the sensitivity of the predictive performance to changes in the prior distribution. We find that making priors less informative (compared to the benchmark priors used in the literature) by increasing the prior variance does not lead to a deterioration of forecast accuracy.

Estimating Dsge Model Consistent Trends For Use In Forecasting

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Author : Jean-Philippe Cayen
language : en
Publisher:
Release Date : 2009

Estimating Dsge Model Consistent Trends For Use In Forecasting written by Jean-Philippe Cayen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Economic forecasting categories.

The Oxford Handbook Of Economic Forecasting

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Author : Michael P. Clements
language : en
Publisher: OUP USA
Release Date : 2011-07-08

The Oxford Handbook Of Economic Forecasting written by Michael P. Clements and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-08 with Business & Economics categories.

Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

Applied Economic Forecasting Using Time Series Methods

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Author : Eric Ghysels
language : en
Publisher: Oxford University Press
Release Date : 2018

Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Economic forecasting categories.

Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.

Midas Versus Mixed Frequency Var

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Author : Vladimir Kuzin
language : en
Publisher:
Release Date : 2009

Midas Versus Mixed Frequency Var written by Vladimir Kuzin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

U Midas

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Author : Claudia Foroni
language : en
Publisher:
Release Date : 2011

U Midas written by Claudia Foroni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Short Term Forecasting For Empirical Economists

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Author : Maximo Camacho
language : en
Publisher:
Release Date : 2013-11-01

Short Term Forecasting For Empirical Economists written by Maximo Camacho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-01 with Business & Economics categories.

Short-term Forecasting for Empirical Economists seeks to close the gap between research and applied short-term forecasting. The authors review some of the key theoretical results and empirical findings in the recent literature on short-term forecasting, and translate these findings into economically meaningful techniques to facilitate their widespread application to compute short-term forecasts in economics, and to monitor the ongoing business cycle developments in real time.