Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000.
"Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes,"
Journal of Econometrics,
Elsevier, vol. 96(1), pages 39-73, May.
- Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Swanson, Norman R & White, Halbert, 1995. "A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 265-75, July.
- Pesaran, M. Hashem & Timmermann, Allan G., 1994.
"A generalization of the non-parametric Henriksson-Merton test of market timing,"
Elsevier, vol. 44(1-2), pages 1-7.
- Pesaran, M.H. & Timmermann, A.G., 1992. "A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing," Cambridge Working Papers in Economics 9218, Faculty of Economics, University of Cambridge.
- Pesaran, M Hashem & Timmermann, Allan, 1992.
"A Simple Nonparametric Test of Predictive Performance,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(4), pages 561-65, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
- Granger, Clive W J, 1993. "Strategies for Modelling Nonlinear Time-Series Relationships," The Economic Record, The Economic Society of Australia, vol. 69(206), pages 233-38, September.
- Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
- Mulhern, Francis J. & Caprara, Robert J., 1994. "A nearest neighbor model for forecasting market response," International Journal of Forecasting, Elsevier, vol. 10(2), pages 191-207, September.
- Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
- Lin, Jin-Lung & Tsay, Ruey S, 1996. "Co-integration Constraint and Forecasting: An Empirical Examination," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 519-38, Sept.-Oct.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Boschen, John F. & Grossman, Herschel I., 1982.
"Tests of equilibrium macroeconomics using contemporaneous monetary data,"
Journal of Monetary Economics,
Elsevier, vol. 10(3), pages 309-333.
- John F. Boschen & Herschel I. Grossman, 1981. "Tests of Equilibrium Macroeconomics Using Contemporaneous Monetary Data," NBER Working Papers 0558, National Bureau of Economic Research, Inc.
- Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Patterson, K D, 1995. "An Integrated Model of the Data Measurement and Data Generation Processes with an Application to Consumers' Expenditure," Economic Journal, Royal Economic Society, vol. 105(428), pages 54-76, January.
- Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-90, June.
- Kolb, R. A. & Stekler, H. O., 1993. "Are economic forecasts significantly better than naive predictions? An appropriate test," International Journal of Forecasting, Elsevier, vol. 9(1), pages 117-120, April.
- Hoffman, Dennis L & Rasche, Robert H, 1996. "Assessing Forecast Performance in a Cointegrated System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 495-517, Sept.-Oct.
- Stekler, H. O., 1991. "Macroeconomic forecast evaluation techniques," International Journal of Forecasting, Elsevier, vol. 7(3), pages 375-384, November.
- Schnader, M H & Stekler, H O, 1990. "Evaluating Predictions of Change," The Journal of Business, University of Chicago Press, vol. 63(1), pages 99-107, January.
- Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:13:y:1997:i:4:p:439-461. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.