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若干长期宏观预测的实证评价AI 解读

We use long-run annual cross-country data for 10 macroeconomic variables to evaluate the long-horizon forecast distributions of six forecasting models. The variables we use range from ones having little serial correlation to ones having persistence consistent with unit roots. Our forecasting models include simple time series models and frequency domain models developed in Müller and Watson (2016). For plausibly stationary variables, an AR(1) model and a frequency domain…

随机游走预测平稳过程的样本平均误差较小AI 解读

We study the use of a misspecified overdifferenced model to forecast the level of a stationary scalar time series. Let xt be the series, and let bias be the sample average of a series of forecast errors. Then, the bias of forecasts of xt generated by a misspecified overdifferenced ARMA model for Δxt will tend to be smaller in magnitude than the bias of forecasts of xt generated by a correctly specified model for xt. Formally, let P be the number of forecasts. The bias from…

提前裁员通知与总体就业损失AI 解读

Summary We collect data from Worker Adjustment and Retraining Notification (WARN) Act notices and establish their usefulness as an indicator of aggregate job loss. The number of workers affected by WARN notices (“WARN layoffs”) leads state‐level initial unemployment insurance claims and unemployment rate (UR) and private employment changes. WARN layoffs comove with aggregate layoffs from Mass Layoff Statistics and the Job Openings and Labor Turnover Survey but are timelier…

代理变量 SVAR 中渐近有效的自助法推断AI 解读

Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under mild α-mixing conditions that cover a large class of uncorrelated, but possibly dependent innovation processes. We prove consistency of a residual-based moving block bootstrap (MBB)…