Questions tagged [forecasting]

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20 views

Can you recursively forecast one variable using two variables?

My question is probably very elementary but I haven't been able to find an explanation of recursive forecasting that I fully understand. I've read a journal article that seemed to recursively ...
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0answers
8 views

Is there a specific test for this procedure? (NKPC and coefficient stability)

I'm running a GMM regression in order to estimate a New Keynesian Phillips Curve, with forecasting purpose, and i want to know if there is a testing procedure for the following problem: (i) First i ...
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0answers
44 views

What's the advantage of DSGE relative to BVARs?

DSGE models and BVARs are commonly used in academia and policy circles. They generate different performances (e.g., in forecasting) and perhaps serve different purposes. Notwithstanding, they have a ...
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0answers
22 views

Forecasting in Real and Nominal Prices

I have a question about how to a create price forecast for a good in nominal and real terms. Using crop prices as an simple example where you believe the price of a crop is related to a stock-to-use ...
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0answers
18 views

Is a high borrowing rate bad?

I'm not an economist, so this may be a stupid question, but why are high borrowing rates among individuals and corporations bad? Like, I've heard high student and credit card debt mentioned as reasons ...
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0answers
29 views

Forecasting Volatility through GARCH and EGARCH models

I am at a final stage of my dissertation but I am a bit confused. I am trying to forecast volatility by using returns through GARCH(1,1) and EGARCH(1,1) models. I use daily prices of indexes to ...
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1answer
31 views

Should the seed be set in forecasting returns in a MCMC

Suppose we are estimating a linear model utilizing a Markov Chain Monte Carlo technique such as a Gibbs sampler, drawing from the posteriors in a Bayes framework. Suppose the full sample of data we ...
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1answer
38 views

Building a time-series demand forecasting model

I am forecasting demand for certain types of goods and services, which I expect to be correlated to a sub-set of a basket of macroeconomic indicators (considering 15-20 indicators) I do not know ...
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5answers
329 views

The economics of a “no deal” Brexit

A "no deal" Brexit is presented in negative terms. In such a scenario the UK would set tariff schedules in line with trade strategy and protect domestic industry/agriculture with tariff rate quotas. ...
3
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2answers
75 views

Will the third Heathrow runway fill up within 25 years?

From a Wired article published 9 June 2018 about the proposed third Heathrow Airport runway: But Warnock-Smith1 warns that Heathrow will eventually fill up again unless air travel is redistributed ...
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0answers
14 views

Using Gretl for ARCH model

How to forecast of volatility with use ARCH model in gretl? Because if I use function "gig" I get non positive coefficients for ARCH(2), ARCH(3),...
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2answers
130 views

Predicted recessions that never happened

It seems generally accepted that recessions are hard to forecast, in both onset and intensity, but the bias seems to be toward rosy outlooks: The main finding is that, while forecasters are ...