C51 - Model Construction and Estimation

• Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models

  Staff Discussion Paper 2022-19 James Younker

  This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C02, C1, C13, C5, C50, C51, C52, C53

• Sectoral Uncertainty

  Staff Working Paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda

  We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44