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Citations for "Averaging forecasts from VARs with uncertain instabilities"

by Todd E. Clark & Michael W. McCracken

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  1. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0909, Birkbeck, Department of Economics, Mathematics & Statistics.
  2. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Paper 1134, Federal Reserve Bank of Cleveland.
  3. Hilde C. Bjørnland & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud & Christie Smith, 2010. "Does forecast combination improve Norges Bank inflation forecasts?," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 0002, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  4. 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, Elsevier, vol. 35(10), pages 1659-1670, October.
  5. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre.
  6. Kai Carstensen & Klaus Wohlrabe & Christina Ziegler, 2011. "Predictive Ability of Business Cycle Indicators under Test - A Case Study for the Euro Area Industrial Production," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 82-106, February.
  7. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
  8. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27, pages 95-112.
  9. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper, Norges Bank 2010/02, Norges Bank.
  10. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series, European Central Bank 1366, European Central Bank.
  11. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008. "How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  12. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  13. Chanont Banternghansa & Michael W. McCracken, 2011. "Real-time forecast averaging with ALFRED," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 49-66.
  14. Steffen Henzel & Johannes Mayr, 2009. "The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study," Ifo Working Paper Series Ifo Working Paper No. 65, Ifo Institute for Economic Research at the University of Munich.
  15. Carlo Altavilla & Matteo Ciccarelli, 2011. "Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset," CESifo Working Paper Series 3372, CESifo Group Munich.
  16. Filippo di Mauro & Filippo di Mauro, Fabio Fornari, 2014. "Going granular: The importance of firm-level equity information in anticipating economic activity," EcoMod2014 6809, EcoMod.
  17. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0910, Birkbeck, Department of Economics, Mathematics & Statistics.
  18. Pierre Gosselin & Aileen Lotz & Charles Wyplosz, 2008. "The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 145-185, September.
  19. Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper Series, The Rimini Centre for Economic Analysis 51_10, The Rimini Centre for Economic Analysis, revised Apr 2011.
  20. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  21. Schumacher, Christian, 2010. "Factor forecasting using international targeted predictors: The case of German GDP," Economics Letters, Elsevier, vol. 107(2), pages 95-98, May.
  22. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  23. M. Hashem Pesaran & Andreas Pick, 2009. "Forecasting Random Walks under Drift Instability," DNB Working Papers, Netherlands Central Bank, Research Department 207, Netherlands Central Bank, Research Department.
  24. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers, Federal Reserve Bank of St. Louis 2013-010, Federal Reserve Bank of St. Louis.
  25. 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.
  26. Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
  27. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 426-448.
  28. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  29. Bjørnland, Hilde C. & Gerdrup, Karsten & Jore, Anne Sofie & Smith, Christie & Thorsrud, Leif Anders, 2011. "Weights and pools for a Norwegian density combination," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 61-76, January.
  30. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers, Czech National Bank, Research Department 2013/06, Czech National Bank, Research Department.
  31. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  32. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  33. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 144-160.
  34. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics 11-20, Duke University, Department of Economics.
  35. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  36. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
  37. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2009. "Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?," 2009 Conference, April 20-21, 2009, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 53052, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.