Reconciling VAR-based Forecasts with Survey Forecasts

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimally Reconciling Forecasts in a Hierarchy

42 HIERARCHICAL STRUCTURES T series can often be naturally disaggregated using attributes such as product type. The total number of bicycles sold by a cycling warehouse, for example, can be disaggregated into a hierarchy of bicycle types. Such a warehouse will sell road bikes, mountain bikes, children’s bikes, and hybrids. Each of these can be disaggregated further into finer categories. Childr...

متن کامل

Reconciling the Return Predictability Evidence In-sample Forecasts, Out-of-sample Forecasts, and Parameter Instability

Evidence of stock return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the assumption of a fixed steady-state mean of the economy is relaxed. We find strong empirical evidence in s...

متن کامل

Evaluating Real-Time VAR Forecasts with an Informative democratic Prior

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, the unconditional mean for each series in the vector autoregression is centered around long-horizon survey forecasts. Heavy shrinkage toward the democratic prior is found to give good real-time predictions of a range of...

متن کامل

Reconciling forecasts for hierarchical and grouped time series

Time series can often be naturally disaggregated in a hierarchical structure using attributes such as product type. For example, the total number of bicycles sold by a cycling warehouse can be disaggregated into a hierarchy of bicycle types. Such a warehouse will sell road bikes, mountain bikes, children bikes or hybrids. Each of these can be disaggregated into finer categories. Children’s bike...

متن کامل

How Informative Are Interest Rate Survey-based Forecasts?

This paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: The Federal Reserve Bank of Kansas City Research Working Papers

سال: 2018

ISSN: 1936-5330

DOI: 10.18651/rwp2018-13