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The non-normality of some macroeconomic forecast errors

  • Harvey, David I.
  • Newbold, Paul
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    File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(02)00076-6
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 19 (2003)
    Issue (Month): 4 ()
    Pages: 635-653

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    Handle: RePEc:eee:intfor:v:19:y:2003:i:4:p:635-653
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    2. Victor Zarnowitz & Phillip Braun, 1993. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 11-94 National Bureau of Economic Research, Inc.
    3. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
    4. Dean Croushore, 1993. "Introducing: the survey of professional forecasters," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-15.
    5. Fair, Ray C & Shiller, Robert J, 1989. "The Informational Context of Ex Ante Forecasts," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 325-31, May.
    6. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
    7. Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
    8. repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
    9. Lahiri, Kajal & Teigland, Christie, 1987. "On the normality of probability distributions of inflation and GNP forecasts," International Journal of Forecasting, Elsevier, vol. 3(2), pages 269-279.
    10. Frederick Joutz & H. O. Stekler, 1998. "Data revisions and forecasting," Applied Economics, Taylor & Francis Journals, vol. 30(8), pages 1011-1016.
    11. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    12. Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
    13. David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2001. "Analysis of a panel of UK macroeconomic forecasts," Econometrics Journal, Royal Economic Society, vol. 4(1), pages S37-S55.
    14. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
    15. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    16. Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
    17. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
    18. David Harvey & Paul Newbold, 2000. "Tests for multiple forecast encompassing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 471-482.
    19. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
    20. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
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