Dynamic prediction pools: an investigation of financial frictions and forecasting performance

DOI10.1016/J.JECONOM.2016.02.006MaRDI QIDQ281046zbMATH OpenOpenAlexFDO

Authors Marco Del Negro, Raiden B. Hasegawa, Frank Schorfheide

Publication date 10 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.02.006

zbMATH Keywords

forecastingBayesian estimationDSGE modelsfinancial frictionsGreat Recessionlinear prediction pools

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Combining VAR and DSGE forecast densities
• Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
• Evaluating DSGE model forecasts of comovements
• Taking financial frictions to the data
• Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model

Cites work

• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Bayesian model averaging and exchange rate forecasts
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Combining predictive distributions
• Confronting model misspecification in macroeconomics
• Forecasting inflation using dynamic model averaging
• Generalised density forecast combinations
• Optimal prediction pools
• Particle Markov Chain Monte Carlo Methods
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• The external finance premium and the macroeconomy: US post-WWII evidence
• Time-varying combinations of predictive densities using nonlinear filtering
• VAR forecasting under misspecification

Cited in

(14)

• Dynamic Bayesian predictive synthesis in time series forecasting
• Forecast density combinations of dynamic models and data driven portfolio strategies
• Generalised density forecast combinations
• Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• Combining probabilistic forecasts of intermittent demand
• Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
• Taking financial frictions to the data
• Application of wavelet decomposition in time-series forecasting
• Debt regimes and the effectiveness of monetary policy
• Infinite Markov pooling of predictive distributions
• Likelihood tempering in dynamic model averaging
• Combining large numbers of density predictions with Bayesian predictive synthesis
• Multivariate Bayesian predictive synthesis in macroeconomic forecasting

This page was built for publication: Dynamic prediction pools: an investigation of financial frictions and forecasting performance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q281046)