Essays on Forecasting

Claudia Pacella ()

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: In this thesis I apply modern econometric techniques on macroeconomic time series. Forecasting is here developed along several dimensions in the three chapters. The chapters are in principle self-contained. However, a common element is represented by the business cycle analysis. In the first paper, which primarily deals with the problem of forecasting euro area inflation in the short and medium run, we also compute the country-specific responses of a common business cycle shock. Both chapters 2 and 3 deal predominately with business cycle issues from two different perspectives. The former chapter analyses the business cycle as a dichotomous non-observable variable and addresses the issue of evaluating the euro area business cycle dating formulated by the CEPR committee, while the latter chapter studies the entire distribution of GDP growth.

Keywords: Inflation; Multi-country model; Forecasting; Bayesian estimation; Business fluctuations; Cycle; Factor model; Asymmetric least squares; Expectiles; Quantiles; Density forecasting (search for similar items in EconPapers)
Date: 2020-06-15
New Economics Papers: this item is included in nep-for and nep-mac
Note: Degree: Doctorat en Sciences économiques et de gestion
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