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Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection

  • Helmut Herwartz

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    File URL: http://hdl.handle.net/10.1007/s00181-010-0378-3
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    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 41 (2011)
    Issue (Month): 2 (October)
    Pages: 487-510

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    Handle: RePEc:spr:empeco:v:41:y:2011:i:2:p:487-510
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    1. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Granger, Clive W.J., 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 687-688, October.
    3. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 0214, European Central Bank.
    4. Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
    5. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
    6. Allen, P. Geoffrey, 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 676-679, October.
    7. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers 04.6, Institute of Economic Policy Research (IEPR).
    8. 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.
    9. Lahiri, Kajal, 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 689-692, October.
    10. Clements, Michael P., 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 680-683, October.
    11. Giannone, Domenico & Reichlin, Lucrezia, 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 684-686, October.
    12. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Rejoinder to comments on forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 703-715, October.
    13. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    14. Swanson, Norman R., 2009. "Comments on "Forecasting economic and financial variables with global VARs"," International Journal of Forecasting, Elsevier, vol. 25(4), pages 697-702, October.
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