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Citations for "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks"

by Allan Timmermann & M. Hashem Pesaran

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  1. M Hashem Pesaran & Andreas Pick & Mikhail Pranovich, 2011. "Optimal Forecasts in the Presence of Structural Breaks," DNB Working Papers, Netherlands Central Bank, Research Department 327, Netherlands Central Bank, Research Department.
  2. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers, Queen Mary, University of London, School of Economics and Finance 595, Queen Mary, University of London, School of Economics and Finance.
  3. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, . "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
  5. A. Carriero & G. Kapetanios & M. Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Economics Working Papers, European University Institute ECO2010/17, European University Institute.
  6. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, School of Economics and Management, University of Aarhus.
  7. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics 11-20, Duke University, Department of Economics.
  8. Carriero, A. & Kapetanios, G. & Marcellino, M., 2009. "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 400-417.
  9. Junsoo Lee & John A. List & Mark C. Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," Working Papers, Department of Economics, Appalachian State University 05-20, Department of Economics, Appalachian State University.
  10. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, Elsevier, vol. 36(3), pages 471-491.
  11. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers, Centre for Central Banking Studies, Bank of England 2, Centre for Central Banking Studies, Bank of England.
  12. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Housing and the Great Depression," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 46(24), pages 2966-2981, August.
  13. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 171-184.
  14. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers, Netherlands Central Bank, Research Department 250, Netherlands Central Bank, Research Department.
  15. Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2014. "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers, Department of Research, Ipag Business School 2014-476, Department of Research, Ipag Business School.
  16. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers, European University Institute ECO2009/31, European University Institute.
  17. Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7139, C.E.P.R. Discussion Papers.
  18. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  19. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  20. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  21. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 305-319.
  22. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers, University of Oxford, Department of Economics 257, University of Oxford, Department of Economics.
  23. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA).
  24. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
  25. Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
  26. Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013. "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics 201345, University of Pretoria, Department of Economics.
  27. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute for the Study of Labor (IZA).
  29. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(3), pages 602-628, July.
  30. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2026-2047.
  31. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers, University of Oxford, Department of Economics 600, University of Oxford, Department of Economics.
  32. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  33. repec:wyi:journl:002213 is not listed on IDEAS
  34. Caio Almeida & Axel Simonsen & José Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series, Central Bank of Brazil, Research Department 288, Central Bank of Brazil, Research Department.
  35. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 08-2012, University of Cyprus Department of Economics.
  36. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, Elsevier, vol. 32(6), pages 1398-1410, November.
  37. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers, Banco Central de Reserva del Perú 2013-009, Banco Central de Reserva del Perú.
  38. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  39. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.