Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

By Anindya Banerjee, Massimiliano Marcellino, Igor Masten. 2008

112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/03a97a24b487267d80d93c01d7f6379a9905a83c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Mark W. Watson
2. James H. Stock
3. Jushan Bai
4. M. Forni
5. Mikkel Plagborg-Møller
6. Marco Lippi
7. Serena Ng
8. A. Inoue

In Finance

1. Mark W. Watson
2. M. Forni
3. A. Inoue
4. James H. Stock
5. Marco Lippi
6. Xu Han
7. Sandra Eickmeier
8. J. Breitung

Citations in the corpus

• Dynamic factor model with infinite‐dimensional factor space: Forecasting (2016, methodology): “(2007), Banerjee et al. (2008), Stock and Watson (2009), D’Agostino et al. (2013), Clements (2015). The present paper however is the first to consider the effect of the Great Recession and the subsequent recovery in a pseudo real-time forecasting exercise using factor models.(5) (5)More recent resea”
• TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS (2013, background): “For example, Banerjee and Marcellino (2008) provide simulation evidence that the performance of forecasts based on dynamic factor models will be significantly worse off if the structural breaks in factor loadings are not taken into account.”
• Forecasting in dynamic factor models subject to structural instability (2009, background): “Yet, there has been little work to date on the performance of factor-based macroeconomic forecasts under structural instability (exceptions are Stock and Watson (1998) (2002b) and Banerjee, Marcellino, and Masten (2007), which are discussed below).”
• Testing for Structural Breaks in Dynamic Factor Models (2011, background): “Finally, Banerjee and Marcellino (2008) have investigated the consequences of time-variation in the factor loadings for forecasting based on Monte Carlo simulations and find it to worsen the forecasts, in particular in small samples.”
• Consistent Factor Estimation in Dynamic Factor Models with Structural Instability (2013, background): “(2011) numerically evaluate the performance of the principal components estimator when the factor loadings evolve as random walks, and Banerjee et al. (2008) focus in particular on the effect of time variation in short samples.”
• A new index of financial conditions (2014, unknown): “+B (j) t,p [ yt−p f (j) t−p ] + ε (j) t , (3)”