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Citations for "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts"

by Wallis, Kenneth F.

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  1. Mark Harris & Paul Levine & Christopher Spencer, 2011. "A decade of dissent: explaining the dissent voting behavior of Bank of England MPC members," Public Choice, Springer, vol. 146(3), pages 413-442, March.
  2. Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.
  3. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
  4. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
  5. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers 2014/12, Department of Business and Management Science, Norwegian School of Economics.
  7. Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
  8. Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
  9. Koop, Gary & Onorante, Luca, 2011. "Estimating Phillips Curves in Turbulent Times using the ECB’s Survey of Professional Forecasters," SIRE Discussion Papers 2011-19, Scottish Institute for Research in Economics (SIRE).
  10. Herman O. Stekler, 2008. "What Do We Know About G-7 Macro Forecasts?," Working Papers 2008-009, The George Washington University, Department of Economics, Research Program on Forecasting.
  11. Ullrich Heilemann, 2004. "Besser geht's nicht - Genauigkeitsgrenzen von Konjunkturprognosen As Good as it Gets - Limits of Accuracy of Macroeconomic Short Term Forecasts," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(1-2), pages 51-64, February.
  12. Elena‐Ivona Dumitrescu & Christophe Hurlin & Jaouad Madkour, 2013. "Testing Interval Forecasts: A GMM‐Based Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 97-110, 03.
  13. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
  14. Klinger, Sabine & Heilemann, Ullrich, 2005. "Zu wenig Wettbewerb? Zu Stand und Entwicklung der Genauigkeit makroökonomischer Prognosen," Technical Reports 2005,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  15. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics.
  16. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  17. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
  18. Kevin Dowd, 2004. "The Swedish Inflation Fan Charts: An Evaluation of the Riksbank?s Inflation Density Forecasts," Occasional Papers 10, Industrial Economics Division, revised 11 Jan 2004.
  19. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004. "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS) 694, University of Warwick, Department of Economics.
  20. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  21. Kajal Lahiri & Fushang Liu, 2006. "Modeling Multi-Period Inflation Uncertainty Using a Panel of Density Forcasts," Discussion Papers 06-05, University at Albany, SUNY, Department of Economics.
  22. Kevin Dowd, 2004. "Too Good to be True? The (In)credibility of the UK Inflation Fan Charts," Occasional Papers 11, Industrial Economics Division, revised 11 Jan 2004.
  23. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre.
  24. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast Densities for Economic Aggregates from Disaggregate Ensembles," CAMA Working Papers 2010-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  25. Boero, Gianna & Marrocu, Emanuela, 2004. "The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts," International Journal of Forecasting, Elsevier, vol. 20(2), pages 305-320.
  26. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
  27. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
  28. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  29. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  30. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA.
  31. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  32. G. Boero & E. Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  33. Christopher Spencer, 2006. "The Dissent Voting Behaviour of Bank of England MPC Members," School of Economics Discussion Papers 0306, School of Economics, University of Surrey.
  34. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 201226, University of Pretoria, Department of Economics.
  35. Kajal Lahiri & J. George Wang, 2007. "The value of probability forecasts as predictors of cyclical downturns," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 11-14.
  36. Charles Goodhart, 2005. "An Essay on the interactions between the Bank of England's forecasts, the MPC's policy adjustments, and the eventual outcome," LSE Research Online Documents on Economics 24665, London School of Economics and Political Science, LSE Library.
  37. Freeland, R. K. & McCabe, B. P. M., 2004. "Forecasting discrete valued low count time series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 427-434.
  38. Casillas-Olvera, Gabriel & Bessler, David A., 2006. "Probability forecasting and central bank accountability," Journal of Policy Modeling, Elsevier, vol. 28(2), pages 223-234, February.