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on Forecasting |
| By: | Peter Fuleky (UHERO and Department of Economics, University of Hawaii at Manoa); Carl S. Bonham (Department of Economics, University of Hawaii at Manoa) |
| Abstract: | We analyze the forecasting performance of small mixed frequency factor models when the observed variables share stochastic trends. The indicators are observed at various frequencies and are tied together by cointegration so that valuable high frequency information is passed to low frequency series through the common factors. Differencing the data breaks the cointegrating link among the series and some of the signal leaks out to the idiosyncratic components, which do not contribute to the transfer of information among indicators. We find that allowing for common trends improves forecasting performance over a stationary factor model based on differenced data. The "common-trends factor model" outperforms the stationary factor model at all analyzed forecast horizons. Our results demonstrate that when mixed frequency vari- ables are cointegrated, modeling common stochastic trends improves forecasts. |
| Keywords: | Dynamic Factor Model, Mixed Frequency Samples, Common Trends, Forecasting |
| JEL: | E37 C32 C53 L83 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:hai:wpaper:201316&r=for |
| By: | Hutter, Christian (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]); Weber, Enzo (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]) |
| Abstract: | "The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We generate an aggregate unemployment leading indicator that exploits serial correlation in response behavior through identifying and adjusting temporarily unreliable predictions. We use out-of-sample tests suitable in nested model environments to compare forecasting performance of models including the new indicator to that of purely autoregressive benchmarks. For all investigated forecast horizons (1, 2, 3 and 6 months), test results show that models enhanced by the new leading indicator significantly outperform their benchmark counterparts. To compare our indicator to potential competitors we employ the model confidence set. Results reveal that models including the new indicator perform very well." (Author's abstract, IAB-Doku) ((en)) |
| JEL: | C22 C52 C53 E24 |
| Date: | 2013–10–21 |
| URL: | http://d.repec.org/n?u=RePEc:iab:iabdpa:201317&r=for |
| By: | James Bullard |
| Abstract: | January 10, 2013. Presentation. "The Fed's New Regime and the 2013 Outlook." Wisconsin Economic Forecast Luncheon, Wisconsin Bankers Association. Madison, Wisconsin. |
| Keywords: | Federal Reserve System ; Economic forecasting ; Monetary policy |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlps:209&r=for |
| By: | Marco Del Negro; Stefano Eusepi; Marc Giannoni; Argia Sbordone; Andrea Tambalotti; Matthew Cocci; Raiden Hasegawa; M. Henry Linder |
| Abstract: | The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is used for forecasting and policy analysis. |
| Keywords: | Econometric models ; Equilibrium (Economics) ; Stochastic analysis ; Federal Reserve Bank of New York |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:647&r=for |
| By: | Christine Garnier; Elmar Mertens; Edward Nelson |
| Abstract: | We derive estimates of trend inflation for fourteen advanced economies from a framework in which trend shocks exhibit stochastic volatility. The estimated specification allows for time-variation in the degree to which longer-term inflation expectations are well anchored in each economy. Our results bring out the effect of changes in monetary regime (such as the adoption of inflation targeting in several countries) on the behavior of trend inflation. Our estimates expand on the previous literature in several dimensions: For each country, we employ a multivariate approach that pools different inflation series in order to identify their common trend. In addition, our estimates of the inflation gap—defined as the difference between trend and observed inflation—are allowed to exhibit considerable persistence. Consequently, the fluctuations in estimates of trend inflation are much lower than those reported in studies that use stochastic volatility models in which inflation gaps are serially uncorrelated. This specification also makes our estimates less sensitive than trend estimates in the literature to the effect of distortions to inflation arising from non-market influences on prices, such as tax changes. A forecast evaluation based on pseudo-real-time estimates documents improvements in inflation forecasts, even though it remains hard to outperform simple random walk forecasts to a statistically significant degree. |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2013-74&r=for |
| By: | Richard W. Fisher |
| Abstract: | Remarks before the C.D. Howe Institute Directors' Dinner, Toronto, June 4, 2013 ; "My staff and I think there is a better-than-even chance that the present GDP growth consensus forecast of 2.4 percent by professional economists may be underestimating the underlying pace of growth." |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddsp:132&r=for |
| By: | Alexander Sokolov (Director of the international Foresight centre, vice director of the ISSEK HSE. Address: National research university “Higher school of economics”); Alexander Chulok (Head of the science and technology Foresight department, ISSEK HSE. Address: National research university “Higher school of economics”); Vladimir Mesropyan (Researcher at the science and technology Foresight department, ISSEK HSE. Address: National research university “Higher school of economics”) |
| Abstract: | Currently the framework conditions for science and technology and innovation (STI) policy have changed significantly in Russia: a system of technology forecasting has been established, which focuses on ensuring the future needs of the manufacturing sector of the national economy. This system was supposed to be the main part of the state strategy planning system which is currently being formed. Over the last decade dozens of science and technology forward-looking projects have been implemented, among which 3 cycles of long-term S&T Foresight stand out prominently. The Foresight was developed by the request of the Ministry of Education and Science of the Russian Federation. The development of the 3rd cycle of long-term Foresight includes both normative («market pull») and research («technology push») approaches. The project involved more than 2,000 experts and more than 200 organizations. Within the project a network of six sectoral Foresight centers was created on the basis of leading universities. The article describes the most important issues of future studies in Russia and presents the principles which formed the basis for the long-term science and technology (S&T) Foresight until 2030. The authors explore its position in the national technology Foresight system and the possibilities for the implementation of its results by the key stakeholders of the national innovation system and on the level of STI policy. Eventually Russian experience could be fairly interesting and useful for many other countries with similar socio-economic features and barriers |
| Keywords: | Foresight, Russia, research and development strategy, planning of science and technology development, Russian technology Foresight system, innovation policy. |
| JEL: | O31 O32 O33 O38 O21 O25 O43 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:19sti2013&r=for |