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Recursive Predictability Tests for Real-Time Data

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Author Info
Inoue, Atsushi
Rossi, Barbara

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Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jbes/2005/00000023/00000003/art00008
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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 23 (2005)
Issue (Month): (July)
Pages: 336-345
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Handle: RePEc:bes:jnlbes:v:23:y:2005:p:336-345

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  1. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics. [Downloadable!]
  2. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  3. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
  4. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has models’ forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics. [Downloadable!]
  5. Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand. [Downloadable!]
    Other versions:
  6. Fanelli, Luca, 2008. "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers 2008-15, Kiel Institute for the World Economy. [Downloadable!]
    Other versions:
  7. Stanislav Anatolyev & Grigory Kosenok, 2008. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR). [Downloadable!]
  8. Tatevik Sekhposyan & Barbara Rossi, 2009. "Has Economic Models’ Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?," Working Papers 09-06, Duke University, Department of Economics. [Downloadable!]
  9. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  10. Fanelli, Luca, 2008. "Evaluating New Keynesian Phillips Curve under VAR-Based Learning," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(33), pages 1-24. [Downloadable!]
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This page was last updated on 2009-11-22.

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