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Citations for "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes"

by David Hendry & Guillaume Chevillon

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  1. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers, European University Institute ECO2008/16, European University Institute.
  3. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7197, C.E.P.R. Discussion Papers.
  4. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  5. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
  6. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 142-157, September.
  7. Alfred A. Haug & Christie Smith, 2012. "Local Linear Impulse Responses for a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, 06.
  8. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics 1196, Society for Economic Dynamics.
  9. David Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Series Working Papers 2004-W15, University of Oxford, Department of Economics.
  10. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2004-13, Observatoire Francais des Conjonctures Economiques (OFCE).
  11. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
  12. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 399-426.
  13. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  14. 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.
  15. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 19/12, Monash University, Department of Econometrics and Business Statistics.
  16. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
  17. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  18. 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.
  19. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 529-542, April.
  20. Pierre Guérin & Massimiliano Marcellino, 2013. "Markov-Switching MIDAS Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(1), pages 45-56, January.
  21. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper, Federal Reserve Bank of Kansas City RWP 01-14, Federal Reserve Bank of Kansas City.
  22. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies 2009,07, Deutsche Bundesbank, Research Centre.
  23. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
  24. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  25. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," Ifo Working Paper Series Ifo Working Paper No. 48, Ifo Institute for Economic Research at the University of Munich.
  26. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 96(1), pages 99-122, January.
  27. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  28. Christian Schumacher, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," 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 28-49, February.
  29. Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper, Federal Reserve Bank of Kansas City RWP 11-11, Federal Reserve Bank of Kansas City.
  30. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 386-398.
  31. 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.
  32. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.