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Citations for "On the Limitations of Comparing Mean Square Forecast Errors"

by Clements, M.P. & Hendry, D.

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  1. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
  2. Qizilbash, M., 1994. "Bribery, efficiency wages and political protection," Discussion Paper Series In Economics And Econometrics 9418, Economics Division, School of Social Sciences, University of Southampton.
  3. Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009. "Leading indicators in a globalised world," Working Paper Series, European Central Bank 1125, European Central Bank.
  4. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 7(1), pages 1-31, 06.
  5. Athanasopoulos, George & Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 704, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Series Working Papers 2008-WO5, University of Oxford, Department of Economics.
  7. Yin-Wong Cheung & Menzie D. Chinn, 1997. "Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models," NBER Working Papers 5943, National Bureau of Economic Research, Inc.
  8. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(4), pages 450-58, October.
  9. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  10. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 697, Board of Governors of the Federal Reserve System (U.S.).
  11. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 695, Board of Governors of the Federal Reserve System (U.S.).
  12. Michael P. Clements & David I. Harvey, 2010. "Forecast encompassing tests and probability forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
  13. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(5), pages 601-616.
  14. Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002, Royal Economic Society 99, Royal Economic Society.
  15. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  16. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  17. Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers, Federal Reserve Bank of St. Louis 1998-008, Federal Reserve Bank of St. Louis.
  18. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009.
  19. Vahid, F. & Issler, J.V., 2001. "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 2/01, Monash University, Department of Econometrics and Business Statistics.
  20. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  21. Rob J. Hyndman & Anne B. Koehler, 2005. "Another Look at Measures of Forecast Accuracy," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 13/05, Monash University, Department of Econometrics and Business Statistics.
  22. �scar Jord� & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  23. George Athanasopoulos & Farshid Vahid, 2008. "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 533-554, 05.
  24. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Series Working Papers 2002-W08, University of Oxford, Department of Economics.
  25. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers, Rutgers University, Department of Economics 200615, Rutgers University, Department of Economics.
  26. JS Armstrong & Robert Fildes, 2004. "Correspondence On the Selection of Error Measures for Comparisons Among Forecasting Methods," General Economics and Teaching, EconWPA 0412002, EconWPA.
  27. 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.
  28. Cook, S., 1996. "Econometric methodology I," Discussion Paper Series In Economics And Econometrics 9618, Economics Division, School of Social Sciences, University of Southampton.
  29. 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.
  30. Hendry, D.F. & Mizon, G.E., 1999. "On selecting policy analysis models by forecast accuracy," Discussion Paper Series In Economics And Econometrics 9918, Economics Division, School of Social Sciences, University of Southampton.
  31. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  32. Neri, Marcelo Cortes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," Economics Working Papers (Ensaios Economicos da EPGE) 689, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  33. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
  34. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 169-183.
  35. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers), Department of Economics - dECON 0298, Department of Economics - dECON.
  36. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 13-27.
  37. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 4/06, Monash University, Department of Econometrics and Business Statistics.
  38. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, . "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
  39. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers, Federal Reserve Bank of St. Louis 1997-008, Federal Reserve Bank of St. Louis.
  40. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series, Trade Union Institute for Economic Research 150, Trade Union Institute for Economic Research, revised 01 Jul 2000.
  41. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers, Rutgers University, Department of Economics 199524, Rutgers University, Department of Economics.
  42. G. Boero & E. Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  43. Ulph, A., 1995. "International environmental regulation when national governments act strategically," Discussion Paper Series In Economics And Econometrics 9518, Economics Division, School of Social Sciences, University of Southampton.
  44. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.