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Citations for "Unit-Root Tests Are Useful for Selecting Forecasting Models"

by Diebold, Francis X & Kilian, Lutz

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  1. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute.
  2. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 0276, European Central Bank.
  3. Junsoo Lee & John A. List & Mark C. Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," Working Papers 05-20, Department of Economics, Appalachian State University.
  4. Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers ECO2006/30, European University Institute.
  5. Pan, Guochen & Chang, Hsu-Ling & Su, Chi-Wei, 2012. "Regional differences in development of life insurance markets in China," Emerging Markets Review, Elsevier, vol. 13(4), pages 548-558.
  6. Marcellino, Massimiliano, 2002. "Forecasting EMU Macroeconomic Variables," CEPR Discussion Papers 3529, C.E.P.R. Discussion Papers.
  7. Carlos Capistrán & Christian Constandse & Manuel Ramos Francia, 2009. "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers 2009-05, Banco de México.
  8. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  9. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
  10. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22.
  11. Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  13. Marcellino, Massimiliano, 2002. "Forecast Pooling for Short Time Series of Macroeconomic Variables," CEPR Discussion Papers 3313, C.E.P.R. Discussion Papers.
  14. E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
  15. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
  16. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  17. Van Heerden, Dorathea & Rodrigues, Jose & Hockly, Dale & Lambert, Bongani & Taljard, Tjaart & Phiri, Andrew, 2013. "Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model," MPRA Paper 50544, University Library of Munich, Germany.
  18. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
    [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]
    ," MPRA Paper 8602, University Library of Munich, Germany.
  19. Tsong, Ching-Chuan, 2011. "Testing for a unit root with covariates against nonlinear alternatives," Economic Modelling, Elsevier, vol. 28(3), pages 1226-1234, May.
  20. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  21. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.
  22. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  23. Massimiliano Marcellino, . "Instability and non-linearity in the EMU," Working Papers 211, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  24. Tsangyao Chang & Tsung-pao Wu & Rangan Gupta, 2013. "Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201324, University of Pretoria, Department of Economics.
  25. Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics.
  26. Graham Elliott & Allan Timmermann, 2008. "Economic Forecasting," Journal of Economic Literature, American Economic Association, vol. 46(1), pages 3-56, March.
  27. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  28. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
  29. Y.Chen & K. Rogoff, 2003. "Commodity Currencies and Empirical Exchange Rate Puzzles," DNB Staff Reports (discontinued) 76, Netherlands Central Bank.
  30. Capistrán, Carlos & Constandse, Christian & Ramos-Francia, Manuel, 2010. "Multi-horizon inflation forecasts using disaggregated data," Economic Modelling, Elsevier, vol. 27(3), pages 666-677, May.
  31. Junsoo Lee & John List, 2004. "Examining Trends of Criteria Air Pollutants: Are the Effects of Governmental Intervention Transitory?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 29(1), pages 21-37, September.
  32. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
  33. Lee, Cheng-Feng & Tsong, Ching-Chuan, 2009. "Bootstrapping covariate stationarity tests for inflation rates," Economic Modelling, Elsevier, vol. 26(6), pages 1443-1448, November.
  34. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  35. Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer, vol. 65(1), pages 125-147, February.
  36. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute.
  37. Tsangyao Chang & Wen-Chi Liu & Goodness C. Aye & Rangan Gupta, 2013. "Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201377, University of Pretoria, Department of Economics.
  38. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  39. Longhi, Simonetta & Nijkamp, Peter, 2006. "Forecasting regional labor market developments under spatial heterogeneity and spatial correlation," Serie Research Memoranda 0015, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  40. Paul Newbold & Stephan Pfaffenzeller & Anthony Rayner, 2005. "How well are long-run commodity price series characterized by trend components?," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(4), pages 479-494.
  41. David Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2195-2207.
  42. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.