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Author : Jinill Kim
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.E/5 ( download)
Download or read book Diagnosing and Treating Bifurcations in Perturbation Analysis of Dynamic Macro Models written by Jinill Kim and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rochelle M. Edge
Publisher :
ISBN 13 :
Total Pages : 98 pages
Book Rating : 4.E/5 ( download)
Download or read book Documenation of the Research and Statistics Division's Estimated DSGE Model of the U.S. Economy written by Rochelle M. Edge and published by . This book was released on 2007 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elizabeth Klee
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Operational Problems and Aggregate Uncertainty in the Federal Funds Market written by Elizabeth Klee and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 496 pages
Book Rating : 4.F/5 ( download)
Download or read book Korean Economic Review written by and published by . This book was released on 2008 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Todd E. Clark
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.E/5 ( download)
Download or read book Forecasting with Small Macroeconomic VARs in the Presence of Instabilities written by Todd E. Clark and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
Author : Todd E. Clark
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Averaging Forecasts from VARs with Uncertain Instabilities written by Todd E. Clark and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: A body of recent work suggests commonly-used VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, different observation windows for estimation, (over-) differencing, intercept correction, stochastically time-varying parameters, break dating, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each individual method could be useful, the uncertainty inherent in any single representation of instability could mean that combining forecasts from the entire range of VAR estimates will further improve forecast accuracy. Focusing on models of U.S. output, prices, and interest rates, this paper examines the effectiveness of combination in improving VAR forecasts made with real-time data. The combinations include simple averages, medians, trimmed means, and a number of weighted combinations, based on: Bates-Granger regressions, factor model estimates, regressions involving just forecast quartiles, Bayesian model averaging, and predictive least squares-based weighting. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models and the Survey of Professional Forecasters as benchmarks.
Author : Todd E. Clark
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book Combining Forecasts from Nested Models written by Todd E. Clark and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but as the sample size grows, the DGP converges to the restricted model. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. In the Monte Carlo and empirical analysis, we compare the effectiveness of our combination approach against related alternatives, such as Bayesian estimation.
Author : Jeremy Nalewaik
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Incorporating Vintage Differences and Forecasts Into Markov Switching Models written by Jeremy Nalewaik and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis J. Fixler
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.E/5 ( download)
Download or read book News, Noise, and Estimates of the "true" Unobserved State of the Economy written by Dennis J. Fixler and published by . This book was released on 2007 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sugata Ray
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.E/5 ( download)
Download or read book An Efficiency Perspective on the Gains from Mergers and Asset Purchases written by Sugata Ray and published by . This book was released on 2007 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Studying Consumption with the Panel Study of Income Dynamics written by and published by . This book was released on 2007 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert M. Adams
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book The Effects of Past Entry, Market Consolidation, and Expansion by Incumbents on the Probability of Entry written by Robert M. Adams and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rochelle Mary Edge
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.E/5 ( download)
Download or read book Welfare-maximizing Monetary Policy Under Parameter Uncertainty written by Rochelle Mary Edge and published by . This book was released on 2007 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the U.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model's utility-based welfare criterion and about the economy's natural rate measures of interest and output. We analyze the characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We find that the natural rates of interest and output are imprecisely estimated. We then show that, relative to the case of known parameters, optimal policy under parameter uncertainty responds less to natural-rate terms and more to other variables, such as price and wage inflation and measures of tightness or slack that do not depend on natural rates.
Author : David Reifschneider
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.E/5 ( download)
Download or read book Gauging the Uncertainty of the Economic Outlook from Historical Forecasting Errors written by David Reifschneider and published by . This book was released on 2007 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sectoral Productivity in the United States written by and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas B. King
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)
Download or read book Financial Market Perceptions of Recession Risk written by Thomas B. King and published by . This book was released on 2007 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book Implied Interest Rate Skew, Term Premiums, and the "conundrum" written by J. Benson Durham and published by . This book was released on 2007 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
