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Forecasting Macroeconomic Aggregates

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  • Mayr, Johannes

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File URL: https://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
Handle: RePEc:lmu:dissen:11140
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  21. De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers.
  22. Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
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  24. Winkler, Robert L., 1989. "Combining forecasts: A philosophical basis and some current issues," International Journal of Forecasting, Elsevier, vol. 5(4), pages 605-609.
  25. Fritsche Ulrich & Kuzin Vladimir, 2005. "Prediction of Business Cycle Turning Points in Germany / Prognose konjunktureller Wendepunkte in Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(1), pages 22-43, February.
  26. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2003. "Leading Indicators for Euro-area Inflation and GDP Growth," Working Papers 235, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  27. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
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  29. 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 - Leibniz Institute for Economic Research at the University of Munich.
  30. 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.
  31. Todd E. Clark & Michael W. McCracken, 2009. "Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, 05.
  32. 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.
  33. Stephen Murchison & Andrew Rennison, 2006. "ToTEM: The Bank of Canada's New Quarterly Projection Model," Technical Reports 97, Bank of Canada.
  34. 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.
  35. 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 - Leibniz Institute for Economic Research at the University of Munich.
  36. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, 05.
  37. Roy Batchelor & Pami Dua, 1995. "Forecaster Diversity and the Benefits of Combining Forecasts," Management Science, INFORMS, vol. 41(1), pages 68-75, January.
  38. Yeung Lewis Chan & James H. Stock & Mark W. Watson, 1999. "A dynamic factor model framework for forecast combination," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 91-121.
  39. 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.
  40. 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.
  41. 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.
  42. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
  43. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
  44. Groen, Jan J. J. & Kapetanios, George, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York, revised 01 Oct 2015.
  45. Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008. "Forecasting Euro Area Real GDP: Optimal Pooling of Information," CESifo Working Paper Series 2371, CESifo Group Munich.
  46. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  47. Klaus Abberger & Wolfgang Nierhaus, 2008. "Die ifo Kapazitätsauslastung - ein gleichlaufender Indikator der deutschen Industriekonjunktur," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(16), pages 15-23, 08.
  48. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," Ifo Working Paper Series Ifo Working Paper No. 48, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  49. 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.
  50. 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.
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