Home » Departments and Centres » Economics » Research & Publications » Research Themes » Forecasting Economic Conditions

Forecasting Economic Conditions

 

Having reliable forecasts for economic variables is crucial for decision making at all levels. Related research in the Economics Department focuses on improving and evaluating forecasting methods.

Massimiliano Marcellino

  • “Path Forecast Evaluation”, with Oscar Jorda, Journal of Applied Econometrics, 25 (2010) 635-662.
  •  “Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP”, with Christian Schumacher, Oxford Bulletin of Economics and Statistics, 72 (2010) 518-550.
  •  “Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models”, with Andrea Carriero and George Kapetanios, Journal of Applied Econometrics, (2010) forthcoming.
  •  “MIDAS vs Mixed-Frequency VAR for Nowcasting GDP in the Euro Area”, with Vladimir Kuzin and Christian Schumaker, International Journal of Forecasting, (2010) forthcoming.
  •  “Forecasting Exchange Rates with a Large Bayesian VAR”, with Andrea Carriero and George Kapetanios, International Journal of Forecasting, 25, (2009b), 400-417.
  •  “Forecasting Euro-Area Variables with German Pre-EMU Data”, with Ralf Bruggemann and Helmut Lutkepohl, Journal of Forecasting, 27 (2008) 465-481.
  •  “Pooling based data interpolation and backdating”, Journal of Time Series Analysis, 28 (2007) 53-71.
  •  “A Comparison of Direct and Iterated AR Methods for Forecasting Macroeconomic Series h-Steps Ahead”, with Jim Stock and Mark Watson, Journal of Econometrics, 135 (2006) 499-526.
  •  “Interpolation with a large information set”, with Elena Angelini and Jerome Henry, Journal of Economic Dynamics and Control, 30 (2006) 2693-2724.
  •  “Are there any reliable leading indicators for the US inflation and GDP growth?”, with Anindya Banerjee, International Journal of Forecasting, 22 (2006) 137-151.
  • “Leading indicators”, in Elliott, G., Granger, C.W.J. and Timmermann, A. (eds), Handbook of Economic Forecasts, Amsterdam: Elsevier (2006).
  •  “Factor augmented error correction models”, with Anindya Banerjee, in Castle, J. and Shepard, N. (Eds.), The Methodology and Practice of Econometrics – A Festschrift for David Hendry, Oxford: Oxford University Press, Ch. 9 (2009) 227-254.
  •  “Forecasting with Factor Augmented Error Correction Models”, with Anindya Banerjee and Igor Masten, CEPR WP 7677 (2010).
  •  “Empirical Simultaneous Confidence Regions for Path-Forecasts”, with Oscar Jorda and Malte Knuppel, Bundesbank WP 2010/6 (2010).
  •  “The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap”, with Alberto Musso, CEPR WP 7763 (2010).
  •  “Forecasting Government Bond Yields with Large Bayesian VARs”, with Andrea Carriero and George Kapetanios, CEPR WP 7796 (2010)

 

 

Page last updated on 17 August 2017