Search Results

Showing results 1 to 10 of approximately 174.

(refine search)
Keywords:time series analysis 

Working Paper
Forecasting of small macroeconomic VARs in the presence of instabilities

Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically ...
Research Working Paper , Paper RWP 06-09

Dynamic factor models with time-varying parameters: measuring changes in international business cycles

We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for ...
Staff Reports , Paper 326

Working Paper
Is value premium a proxy for time-varying investment opportunities: some time series evidence

We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. The underlying premise is that, as conjectured by Fama and French (1996), the value premium is a proxy for time-varying investment opportunities. By ignoring the value premium, early specifications suffer from an omitted variable problem that leads to a downward bias in the estimate of the risk-return tradeoff. The paper also documents a new finding on a significantly positive relation between the value premium and its conditional ...
Working Papers , Paper 2005-026

Discussion Paper
Priors for macroeconomic time series and their application

This paper takes up Bayesian inference in a general trend stationary model for macroeconomic time series with independent Student-t disturbances. The model is linear in the data, but nonlinear in parameters. An informative but nonconjugate family of prior distributions for the parameters is introduced, indexed by a single parameter which can be readily elicited. The main technical contribution is the construction of posterior moments, densities, and odds ratios using a six-step Gibbs sampler. Mappings from the index parameter of the family of prior distribution to posterior moments, ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 64

Working Paper
A common model approach to macroeconomics: using panel data to reduce sampling error

Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual-country empirical models, for a wide variety of countries often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macro-dynamic behavior of 15 OECD countries in terms of a small set of familiar, widely?used core economic variables, omitting ...
Working Papers , Paper 2003-045

Working Paper
On the sensitivity of VAR forecasts to alternative lag structures

Working Papers , Paper 1987-004

Journal Article
Unit roots in macroeconomic time series: some critical issues

Economic Quarterly , Issue Spr , Pages 13-44

Two factors along the yield curve

We estimate two-factor equilibrium models on different parts of the yield curve. In this exploration of the term structure of interest rates, we use two-factor affine yield models as our diagnostic tool. The exercise provides insights on how to reconcile the time-series dynamics of interest rates with the cross-sectional shapes of the term structure and on how movements in the yield curve are related to macroeconomic fundamentals. The evidence favors models in which one factor reverts over time to a time-varying mean. One such model seems adequate to explain three-month to two-year bond ...
Research Paper , Paper 9613

Modeling uncertainty: predictive accuracy as a proxy for predictive confidence

This paper evaluates current strategies for the empirical modeling of forecast behavior. In particular, we focus on the reliability of using proxies from time series models of heteroskedasticity to describe changes in predictive confidence. We address this issue by examining the relationship between ex post forecast errors and ex ante measures of forecast uncertainty from data on inflation forecasts from the Survey of Professional Forecasters. The results provide little evidence of a strong link between observed heteroskedasticity in the consensus forecast errors and forecast uncertainty. ...
Staff Reports , Paper 161

The role of the exchange rate in the monetary transmission mechanism: a time-series analysis

Research Paper , Paper 9412



FILTER BY Content Type


Diebold, Francis X. 11 items

Bagshaw, Michael L. 9 items

Dueker, Michael J. 6 items

Potter, Simon M. 6 items

Estrella, Arturo 5 items

Zha, Tao 5 items

show more (188)

FILTER BY Jel Classification

C30 1 items

C32 1 items

C50 1 items

C87 1 items

F40 1 items

O4 1 items

show more (2)

FILTER BY Keywords

time series analysis 174 items

Econometric models 29 items

Business cycles 26 items

Forecasting 22 items

Interest rates 12 items

Monetary policy 8 items

show more (83)