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

DOI10.1016/j.jeconom.2016.02.006zbMath1420.62408OpenAlexW3123285437MaRDI QIDQ281046

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

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

Related Items (12)

Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR ⋮ Taking financial frictions to the data ⋮ Debt regimes and the effectiveness of monetary policy ⋮ Infinite Markov pooling of predictive distributions ⋮ Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ Forecast density combinations of dynamic models and data driven portfolio strategies ⋮ Application of wavelet decomposition in time-series forecasting ⋮ Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion ⋮ Likelihood Tempering in Dynamic Model Averaging ⋮ Generalised density forecast combinations

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