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Model selection with estimated factors and idiosyncratic components (replicat...
This paper provides consistent information criteria for the selection of forecasting models that use a subset of both the idiosyncratic and common factor components of a big... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at t...
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years... -
How to Identify and Forecast Bull and Bear Markets? (replication data)
Because the state of the equity market is latent, several methods have been proposed to identify past and current states of the market and forecast future ones. These methods... -
Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Ma...
An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that... -
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... -
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... -
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... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM... -
Can inflation data improve the real-time reliability of output gap estimates?...
Potential output plays a central role in monetary policy and short-term macroeconomic policy making. Yet, characterizing the output gap involves a trend-cycle decomposition, and...
