Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models
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- Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995.
"Bayesian long-run prediction in time series models,"
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- Steel, Mark F.J. & Osiewalski, Jacek & Koop, Gary, 1992. "Bayesian long-run prediction in time series models," UC3M Working papers. Economics 2822, Universidad Carlos III de Madrid. Departamento de Economía.
- Wallis, Kenneth F., 2003.
"Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts,"
International Journal of Forecasting,
Elsevier, vol. 19(2), pages 165-175.
- Wallis, Kenneth F., 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 0083, European Central Bank.
- Wallis, Kenneth F., 2002. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," Royal Economic Society Annual Conference 2002 181, Royal Economic Society.
- Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
- Dorfman, Jeffrey H. & Havenner, Arthur M., 1992. "A Bayesian approach to state space multivariate time series modeling," Journal of Econometrics, Elsevier, vol. 52(3), pages 315-346, June.
- Veiga, Helena & Ruiz, Esther & Gonçalves Mazzeu, Joao Henrique, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
- Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
- Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
- Liu, Shu-Ing, 2001. "Bayesian model determination for binary-time-series data with applications," Computational Statistics & Data Analysis, Elsevier, vol. 36(4), pages 461-473, June.
- Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.
- Christoffel, Kai & Coenen, Gunter & Warne, Anders, 2007. "Conditional versus unconditional forecasting with the New Area-Wide Model of the euro area," MPRA Paper 76759, University Library of Munich, Germany.
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