Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences relates to a behavioral property that generalizes impatience to stochastic environments: Stochastic Impatience. We show that, within a broad class of models, Stochastic Impatience holds if and only if risk aversion is not too high relative to the inverse of the elasticity of intertemporal substitution. In par-ticular, in the models of Epstein and Zin (1989) and Hansen and Sargent (1995), Stochastic Impatience is violated for all commonly used parameters

Roberto Mariano and Suleyman Ozmucur

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Keywords: Nowcasting; Mixed-Frequency Forecasting; Dynamic Factor Model; MIDAS; Principal Components; Factor Analysis; ARDL; VAR; Elastic Net; Combining Forecasts (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C52 C53 C55 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2020-08-02
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