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پیش بینی رگرسیون چندک تورم تحت عدم قطعیت مدل
عنوان انگلیسی مقاله:
Quantile regression forecasts of inflation under model uncertainty
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بخشی از مقاله انگلیسی:
3. Empirics
3.1. Data and models This section examines whether QR-BMA can provide point and density forecasts that are superior to those from popular linear and nonlinear specifications that have been considered successful for forecasting inflation. We consider real-time CPI data for the period 1947Q1–2015Q3 as the dependent variable, and two own lags of inflation as well as 16 variables measured in real-time as the potential predictors. In particular, the dataset contains various measures of economic activity (e.g., unemployment, investment), money supply (e.g., M1) and expectations (e.g., default yield spread). All predictors are measured in real time if possible; otherwise, their final vintage is used if they are not subject to revisions (e.g., interest rates). Other important variables could also be used as predictors (e.g., surveys); however, either they are not available in real-time, or their sample is considerably smaller, which would make any forecast comparison less reliable (due to small estimation and evaluation samples). The data, which are downloaded from the Real Time Data Research Center of the Philadelphia Fed and the St Louis Federal Reserve Economic Database (FRED), are explained in detail in the data appendix.
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کلمات کلیدی:
Quantile forecasts of inflation under model uncertainty - Munich ... https://mpra.ub.uni-muenchen.de/64341/ by D Korobilis - 2015 - Cited by 3 - Related articles May 15, 2015 - Korobilis, Dimitris (2015): Quantile forecasts of inflation under model ... I show that quantile regression BMA methods can help reduce ... Quantile forecasts of inflation under model uncertainty - IDEAS/RePEc https://ideas.repec.org/p/pra/mprapa/64341.html by D Korobilis - 2015 - Cited by 3 - Related articles I show that quantile regression BMA methods can help reduce uncertainty regarding outcomes of future inflation by providing superior predictive densities ... Quantile Forecasts of Inflation Under Model Uncertainty by Dimitris ... https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2610253 by D Korobilis - 2015 - Cited by 3 - Related articles May 25, 2015 - Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to ... [PDF]55 ECO/WKP(2012) - OECD.org www.oecd.org/officialdocuments/publicdisplaydocumentpdf/?cote=ECO/...En Jul 6, 2012 - Measuring GDP Forecast Uncertainty Using Quantile Regressions ..... The BoE produces asymmetric fan charts for its inflation and GDP forecasts, by ... more detail below, quantile regression estimates have the advantage of ... Research - Dimitris Korobilis - Google Sites https://sites.google.com/site/dimitriskorobilis/Research "Forecasting with high dimensional panel VARs", R&R Oxford Bulletin of Economics and ... “Quantile Regression Forecasts of Inflation under Model Uncertainty”, ...
