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| Schumacher, Christian. |
| This paper estimates and forecasts trend output and output gaps for the Euro area. In the monetary strategy of the European Central Bank (ECB), trend output is used to forecast a reference value for money. For this purpose, trend output must be forecasted as well. In this paper, a permanent-transitory decomposition (PT) based on cointegration restrictions gives an estimate of trend output in the Euro area. Ex-ante forecasts of trend output are generated and to get an impression of the forecast uncertainty, bootstrap simulation is employed to construct prediction intervals that take into consideration estimation uncertainty. The empirical uncertainty around trend output is relatively smaller than the uncertainty of the output gap. The absolute uncertainty... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Financial Economics. |
| Ano: 2000 |
URL: http://purl.umn.edu/26245 |
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| Dreger, Christian; Schumacher, Christian. |
| This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate and multivariate models. These models are based on regression techniques and considerably smaller data sets. Out-of-sample forecasts show that the prediction errors of the factor model are smaller than the errors of the rival models. However, these advantages are not statistically significant, as a test for equal forecast accuracy shows. Therefore, the efficiency gains of using a large data set with this kind of factor models seem to be limited. Diese Arbeit... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Factor models; Principal components; Forecasting accuracy; International Development; E32; C51; C43. |
| Ano: 2002 |
URL: http://purl.umn.edu/26321 |
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| Weinert, Gunter; Wohlers, Eckhardt; Bruck, Christiane; Dennig, Ulrike; Hinze, Jorg; Kirchesch, Kai; Matthies, Klaus; Schaft, Wolfgang; Schumacher, Christian; Sperling, Ingeborg. |
| Tipo: Working or Discussion Paper |
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| Ano: 2001 |
URL: http://purl.umn.edu/26059 |
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