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Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis Author info | Abstract | Publisher info | Download info | Related research | Statistics Clark, Todd E.
West, Kenneth D.
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 135 (2006)
Issue (Month): 1-2 ()
Pages: 155-186
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Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:155-186Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Clark, Todd E. & McCracken, Michael W., 2001.
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Pablo Pincheira B., 2007.
"Hidden Predictability in Economics: The Case of the Chilean Exchange Rate ,"
Working Papers Central Bank of Chile
435, Central Bank of Chile.
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Menzie D. Chinn & Ron Alquist, 2006.
"Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment ,"
NBER Working Papers
12481, National Bureau of Economic Research, Inc.
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"Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components? ,"
Working Papers
05-44, Bank of Canada.
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Troy Matheson, 2006.
"Phillips curve forecasting in a small open economy ,"
Reserve Bank of New Zealand Discussion Paper Series
DP2006/01, Reserve Bank of New Zealand.
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Other versions: Pástor, Lubos & Stambaugh, Robert F, 2007.
"Predictive Systems: Living with Imperfect Predictors ,"
CEPR Discussion Papers
6076, C.E.P.R. Discussion Papers.
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Other versions: Pierre-Olivier Gourinchas & Hélène Rey, 2005.
"International Financial Adjustment ,"
International Finance
0505004, EconWPA.
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Other versions:
Pierre-Olivier Gourinchas & Hélène Rey, 2006.
"International Financial Adjustment ,"
Center for International and Development Economics Research, Working Paper Series
1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
[Downloadable!] Pierre-Olivier Gourinchas & Helene Rey, 2005.
"International Financial Adjustment ,"
NBER Working Papers
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[Downloadable!] (restricted) Gourinchas, Pierre-Olivier & Rey, Hélène, 2005.
"International Financial Adjustment ,"
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"International Financial Adjustment ,"
2005 Meeting Papers
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[Downloadable!] Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment ,"
Journal of Political Economy ,
University of Chicago Press, vol. 115, pages 665-703.
[Downloadable!] (restricted) Pierre-Olivier Gourinchas & Hélène Rey, 2005.
"International financial adjustment ,"
Proceedings ,
Federal Reserve Bank of San Francisco.
[Downloadable!] Kenneth D. West & Todd Clark, 2006.
"Approximately Normal Tests for Equal Predictive Accuracy in Nested Models ,"
NBER Technical Working Papers
0326, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Todd E. Clark & Kenneth D. West, 2005.
"Approximately normal tests for equal predictive accuracy in nested models ,"
Research Working Paper
RWP 05-05, Federal Reserve Bank of Kansas City.
[Downloadable!] Clark, Todd E. & West, Kenneth D., 2007.
"Approximately normal tests for equal predictive accuracy in nested models ,"
Journal of Econometrics ,
Elsevier, vol. 127(1), pages 291-311, May.
[Downloadable!] (restricted) Sellin, Peter, 2007.
"Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts ,"
Working Paper Series
213, Sveriges Riksbank (Central Bank of Sweden).
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Pablo Pincheira, 2006.
"Shrinkage Based Tests of the Martingale Difference Hypothesis ,"
Working Papers Central Bank of Chile
376, Central Bank of Chile.
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Elliott, Graham & Timmermann, Allan G, 2007.
"Economic Forecasting ,"
CEPR Discussion Papers
6158, C.E.P.R. Discussion Papers.
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Ardic, Oya Pinar & Ergin, Onur & Senol, G. Bahar, 2008.
"Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies ,"
MPRA Paper
7505, University Library of Munich, Germany.
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Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008.
"Can Exchange Rates Forecast Commodity Prices? ,"
Working Papers
08-03, Duke University, Department of Economics.
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Other versions: Todd E. Clark & Michael W. McCracken, 2006.
"Combining forecasts from nested models ,"
Research Working Paper
RWP 06-02, Federal Reserve Bank of Kansas City.
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Other versions: Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005.
"The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly ,"
NBER Working Papers
11840, National Bureau of Economic Research, Inc.
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Charles Engel & Nelson C. Mark & Kenneth D. West, 2007.
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