ABSTRACT This paper proposes an international collaboration between researchers in academia and p... more ABSTRACT This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models, methods for forecast combination, and techniques for probabilistic forecast evaluation in order to reduce the setup costs and risks to both individual researchers and policymaking organizations. A particular emphasis should be placed on replication studies with the toolbox so that central bankers can be sure that they are utilizing best practice techniques to produce probabilistic forecasts of events of interest. Full publication: Globalisation and Inflation Dynamics in Asia and the Pacific
... USA. MEASURING CORE INFLATION* Danny Quah and Shaun P. Vahey ... Whilst inflation is generall... more ... USA. MEASURING CORE INFLATION* Danny Quah and Shaun P. Vahey ... Whilst inflation is generally associated with a 'sustained increase in the general price level', the RPI is designed to assess the cost of particular goods and services. ...
The asymptotic distributions of cointegration tests are approximated using the Gamma distribution... more The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published.
ABSTRACT This paper proposes an international collaboration between researchers in academia and p... more ABSTRACT This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models, methods for forecast combination, and techniques for probabilistic forecast evaluation in order to reduce the setup costs and risks to both individual researchers and policymaking organizations. A particular emphasis should be placed on replication studies with the toolbox so that central bankers can be sure that they are utilizing best practice techniques to produce probabilistic forecasts of events of interest. Full publication: Globalisation and Inflation Dynamics in Asia and the Pacific
ABSTRACT This paper proposes an international collaboration between researchers in academia and p... more ABSTRACT This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models, methods for forecast combination, and techniques for probabilistic forecast evaluation in order to reduce the setup costs and risks to both individual researchers and policymaking organizations. A particular emphasis should be placed on replication studies with the toolbox so that central bankers can be sure that they are utilizing best practice techniques to produce probabilistic forecasts of events of interest. Full publication: Globalisation and Inflation Dynamics in Asia and the Pacific
... USA. MEASURING CORE INFLATION* Danny Quah and Shaun P. Vahey ... Whilst inflation is generall... more ... USA. MEASURING CORE INFLATION* Danny Quah and Shaun P. Vahey ... Whilst inflation is generally associated with a 'sustained increase in the general price level', the RPI is designed to assess the cost of particular goods and services. ...
The asymptotic distributions of cointegration tests are approximated using the Gamma distribution... more The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published.
ABSTRACT This paper proposes an international collaboration between researchers in academia and p... more ABSTRACT This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models, methods for forecast combination, and techniques for probabilistic forecast evaluation in order to reduce the setup costs and risks to both individual researchers and policymaking organizations. A particular emphasis should be placed on replication studies with the toolbox so that central bankers can be sure that they are utilizing best practice techniques to produce probabilistic forecasts of events of interest. Full publication: Globalisation and Inflation Dynamics in Asia and the Pacific
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Papers by Shaun Vahey