| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7477 |
| DP7477 Indeterminacy of Competitive Equilibrium with Risk of Default | |
| PIETRO REICHLIN; Gaetano Bloise; Mario Tirelli | |
| 发表日期 | 2009-09-27 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the most promising existing alternatives, namely, factor models, large scale Bayesian VARs, and multivariate boosting. Specifically, we focus on classical reduced rank regression, a two-step procedure that applies, in turn, shrinkage and reduced rank restrictions, and the reduced rank Bayesian VAR of Geweke (1996). We find that using shrinkage and rank reduction in combination rather than separately improves substantially the accuracy of forecasts, both when the whole set of variables is to be forecast, and for key variables such as industrial production growth, inflation, and the federal funds rate. The robustness of this finding is confirmed by a Monte Carlo experiment based on bootstrapped data. We also provide a consistency result for the reduced rank regression valid when the dimension of the system tends to infinity, which opens the ground to use large scale reduced rank models for empirical analysis. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian vars Factor models Forecasting Reduced rank. |
| URL | https://cepr.org/publications/dp7477 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536314 |
| 推荐引用方式 GB/T 7714 | PIETRO REICHLIN,Gaetano Bloise,Mario Tirelli. DP7477 Indeterminacy of Competitive Equilibrium with Risk of Default. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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