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Can inflation data improve the real-time reliability of output gap estimates?...
Potential output plays a central role in monetary policy and short-term macroeconomic policy making. Yet, characterizing the output gap involves a trend-cycle decomposition, and... -
Evaluating interval forecasts of high-frequency financial data (replication d...
A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing... -
This is what the leading indicators lead (replication data)
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy... -
Tests for multiple forecast encompassing (replication data)
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts...
