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Forecasting in the presence of large shocks

  • Phillips, Robert F.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 20 (1996)
Issue (Month): 9-10 ()
Pages: 1581-1608

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Handle: RePEc:eee:dyncon:v:20:y:1996:i:9-10:p:1581-1608
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  2. Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August.
  3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, June.
  4. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
  5. Phillips, Robert F., 1991. "A constrained maximum-likelihood approach to estimating switching regressions," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 241-262.
  6. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  7. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  9. Charles Bates & Halbert White, 1984. "A Unified Theory of Consistent Estimation for Parametric Models," Working papers 359, Massachusetts Institute of Technology (MIT), Department of Economics.
  10. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  11. Paul A. Ruud., 1988. "Extensions of Estimation Methods Using the EM Algorithm.," Economics Working Papers 8899, University of California at Berkeley.
  12. Reichlin, Lucrezia, 1989. "Structural change and unit root econometrics," Economics Letters, Elsevier, vol. 31(3), pages 231-233, December.
  13. Perron, Pierre, 1993. "The HUMP-Shaped Behavior of Macroeconomic Fluctuations," Empirical Economics, Springer, vol. 18(4), pages 707-27.
  14. Phillips, Robert F., 1994. "Partially adaptive estimation via a normal mixture," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 123-144.
  15. Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-78, June.
  16. Newey, W.K., 1989. "Uniform Convergence In Probability And Stochastic Equicontinuity," Papers 342, Princeton, Department of Economics - Econometric Research Program.
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