Questions tagged [forecasting]

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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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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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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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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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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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27 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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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),...