Forecasting with Real-Time Macroeconomic Data

By D. Croushore. 2006

176 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/75d304944a94f9fd65076448b730dae7010be63d

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In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts (2014, background): “As discussed in such sources as Romer and Romer (2000), Sims (2002), and Croushore (2006), evaluating the accuracy of real-time forecasts requires a difficult decision on what to take as the actual data in calculating forecast errors.”
Real-Time Forecasts of the Real Price of Oil (2012, background): “Unlike Carlton (2010) and Ravazzolo and Rothman (2012), our focus is not on real-time forecasting of U.S. real GDP growth on the basis of lagged oil prices, but rather on generating real-time forecasts of the real price of oil.”
Nowcasting GDP in Real Time: A Density Combination Approach (2014, unknown): “Croushore and Stark (2001) provide a description of the database.”
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests (2015, unknown): “(For an This content downloaded from 165.123.34.86 on Sun, 08 Jan 2023 16:49:31 UTC All use subject to https://about.jstor.org/terms 8 Journal of Business & Economic Statistics, January 201 5 overview, see Croushore 2006.)”
Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2011, background): “As discussed by such authors as Romer and Romer (2000), Sims (2002), and Croushore (2006), evaluating the accuracy of real-time forecasts requires a difficult decision on what to use as the actual data when calculating forecast errors.”
Forecasting the Price of Oil (2010, background): “The construction and evaluation of real-time forecasts is clearly an area that calls for further methodological work, the development of suitable data sets, and empirical studies (also see, e.g., Koenig, Dolmas and Piger 2003; Croushore 2006; Clements and Galvao 2010).”
Common Drifting Volatility in Large Bayesian VARs (2012, methodology): “Step 5: Draw the variance , conditional on , A, S, and , using the conditional (IG) distribution for the posterior given in (13) We estimate the BVAR-SV model with a similar algorithm, modied to drop the step for sampling S and to draw time series of volatilities of all variables, not just common v”
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (2010, unknown): “Croushore, Dean.”
Forecasting: theory and practice (2020, background): “terval or density forecasts than point forecasts, and this is further explored by Clements and Galv˜ao (2017). Surveys on data revisions and real-time analysis, including forecasting, are provided by Croushore (2006, 2011b,a) and Clements and Galv˜ao (2019). 2.3.19. Innovation diﬀusion models26 Fore”
Forecast Rationality Tests Based on Multi-Horizon Bounds (2012, unknown): “This severely constrains inference in some cases since, as shown by Croushore (2006), Croushore and Stark (2001), and Corradi, Fernandez, and Swanson (2009), revisions to macroeconomic variables can be very considerable and so raises questions that can be difficult to address such as “What are the…”