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The power of tests of predictive ability in the presence of structural breaks

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Author Info
Clark, Todd E.
McCracken, Michael W.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4BY3T8R-1/2/1fe88a4bdd79f19e59d0b95ec4cc39af
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 124 (2005)
Issue (Month): 1 (January)
Pages: 1-31
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Handle: RePEc:eee:econom:v:124:y:2005:i:1:p:1-31

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Web page: http://www.elsevier.com/locate/jeconom

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  2. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance 0503006, EconWPA. [Downloadable!]
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  3. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  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. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Fabio Busetti & Juri Marcucci & Giovanni Veronese, 2009. "Comparing forecast accuracy: A Monte Carlo investigation," Temi di discussione (Economic working papers) 723, Bank of Italy, Economic Research Department. [Downloadable!]
  7. 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!]
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