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Forecasting Macroeconomic Aggregates

  • Mayr, Johannes

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File URL: http://edoc.ub.uni-muenchen.de/11140/1/Mayr_Johannes.pdf
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Paper provided by University of Munich, Department of Economics in its series Munich Dissertations in Economics with number 11140.

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Date of creation: 28 Jan 2010
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Handle: RePEc:lmu:dissen:11140
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  15. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
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  19. Winkler, Robert L., 1989. "Combining forecasts: A philosophical basis and some current issues," International Journal of Forecasting, Elsevier, vol. 5(4), pages 605-609.
  20. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  21. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
  22. Klaus Abberger, 2006. "Qualitative Business Surveys in Manufacturing and Industrial Production - What can be Learned from Industry Branch Results?," Ifo Working Paper Series Ifo Working Paper No. 31, Ifo Institute for Economic Research at the University of Munich.
  23. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  24. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
  25. Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
  26. Hendry, David F, 1980. "Econometrics-Alchemy or Science?," Economica, London School of Economics and Political Science, vol. 47(188), pages 387-406, November.
  27. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
  28. Steffen Henzel & Johannes Mayr, 2009. "The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study," Ifo Working Paper Series Ifo Working Paper No. 65, Ifo Institute for Economic Research at the University of Munich.
  29. Roy Batchelor & Pami Dua, 1995. "Forecaster Diversity and the Benefits of Combining Forecasts," Management Science, INFORMS, vol. 41(1), pages 68-75, January.
  30. David Hendry & Michael Clements, 2001. "Pooling of Forecasts," Economics Series Working Papers 2002-W09, University of Oxford, Department of Economics.
  31. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
  32. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
  33. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," Working Paper 2002-14, Federal Reserve Bank of Atlanta.
  34. Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers 2008-028, Federal Reserve Bank of St. Louis.
  35. Klaus Abberger & Wolfgang Nierhaus, 2008. "Die ifo Kapazitätsauslastung - ein gleichlaufender Indikator der deutschen Industriekonjunktur," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 61(16), pages 15-23, 08.
  36. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  37. Ulrich Fritsche & Vladimir Kuzin, 2005. "Prediction of Business Cycle Turning Points in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(1), pages 22-43, January.
  38. David E. Rapach & Jack K. Strauss, 2008. "Forecasting US employment growth using forecast combining methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 75-93.
  39. Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008. "Forecasting Euro Area Real GDP: Optimal Pooling of Information," CESifo Working Paper Series 2371, CESifo Group Munich.
  40. Stephen K. McNees, 1987. "Consensus forecasts: tyranny of the majority?," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 15-21.
  41. Massimiliano Marcellino, 2004. "Forecast Pooling for European Macroeconomic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 91-112, 02.
  42. Yeung Lewis Chan & James H. Stock & Mark W. Watson, 1999. "A dynamic factor model framework for forecast combination," Spanish Economic Review, Springer, vol. 1(2), pages 91-121.
  43. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  44. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
  45. Christian Dreger & Christian Schumacher, 2005. "Out-of-sample Performance of Leading Indicators for the German Business Cycle: Single vs. Combined Forecasts," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2005(1), pages 71-87.
  46. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," Ifo Working Paper Series Ifo Working Paper No. 48, Ifo Institute for Economic Research at the University of Munich.
  47. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
  48. George Kapetanios & Massimiliano Marcellino, 2003. "A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions," Working Papers 489, Queen Mary University of London, School of Economics and Finance.
  49. Stephen Murchison & Andrew Rennison, 2006. "ToTEM: The Bank of Canada's New Quarterly Projection Model," Technical Reports 97, Bank of Canada.
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