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The Measurement and Characteristics of Professional Forecasters' Uncertainty ...
Several statistical issues that arise in the construction and interpretation of measures of uncertainty from forecast surveys that include probability questions are considered,... -
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (repl...
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing... -
Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting (re...
Factor models have been applied extensively for forecasting when high-dimensional datasets are available. In this case, the number of variables can be very large. For instance,... -
The Contribution of Structural Break Models to Forecasting Macroeconomic Seri...
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the... -
A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (r...
Yield curve models within the popular Nelson-Siegel class are shown to arise from formal low-order Taylor approximations of the generic Gaussian affine term structure model.... -
Bayesian VARs: Specification Choices and Forecast Accuracy (replication data)
In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt... -
ESTIMATING FISCAL LIMITS: THE CASE OF GREECE (replication data)
This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic fiscal limit and sovereign... -
Forecasting interest rates with shifting endpoints (replication data)
We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or... -
CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS (repl...
Decision makers often observe point forecasts of the same variable computed, for instance, by commercial banks, IMF and the World Bank, but the econometric models used by such... -
FORECASTING DISCONNECTED EXCHANGE RATES (replication data)
The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper... -
MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING ...
Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research... -
A TIP OF THE ICEBERG? THE PROBABILITY OF CATCHING CARTELS (replication data)
Reliable estimates of crime detection probabilities could help in designing better sanctions and improve our understanding of the efficiency of law enforcement. For cartels, we... -
ESTIMATING PERSON-CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABL...
This paper builds on the methods of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to estimate person-centered treatment (PeT) effects that... -
THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL...
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,... -
MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS (replica...
This paper provides a sensitivity analysis on the prior choice for interaction terms for the results of Masanjala and Papageorgiou (Rough and lonely road to prosperity. Journal... -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF I...
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update... -
MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PAT...
In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing... -
EVALUATING REAL-TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR (repl...
This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular,... -
VAR FORECASTING USING BAYESIAN VARIABLE SELECTION (replication data)
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally...
