Macroeconomic Models, Forecasting, and Policymaking
نویسندگان
چکیده
منابع مشابه
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we de...
متن کاملThe Use of Varma Models in Forecasting Macroeconomic Indicators
Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and the spread between the 10 year government bond yield, where the quarterly data are from the U....
متن کاملMacroeconomic Forecasting Using Diffusion Indexes
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, an...
متن کاملThe State of Macroeconomic Forecasting
Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of ma...
متن کاملTwo Approaches to Macroeconomic Forecasting
F ollowing World War II, the quantity and quality of macroeconomic data expanded dramatically. The most important factor was the regular publication of the National Income and Product Accounts, which contained hundreds of consistently defined and measured statistics that summarized overall economic activity. As the data supply expanded, entrepreneurs realized that a market existed for applying ...
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ژورنال
عنوان ژورنال: Economic Commentary (Federal Reserve Bank of Cleveland)
سال: 2011
ISSN: 2163-3738,0428-1276
DOI: 10.26509/frbc-ec-201119