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Inference about predictive ability


  • McCracken,M.W.
  • West,K.D.

    (University of Wisconsin-Madison, Social Systems Research Institute)


No abstract is available for this item.

Suggested Citation

  • McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
  • Handle: RePEc:att:wimass:200114

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    References listed on IDEAS

    1. Pablo E. Guidotti & Carlos A. Rodriguez, 1992. "Dollarization in Latin America: Gresham's Law in Reverse?," IMF Staff Papers, Palgrave Macmillan, vol. 39(3), pages 518-544, September.
    2. Helmut Stix, 2001. "Survey Results about Foreign Currency Holdings in Five Central and Eastern European Countries," CESifo Forum, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 2(3), pages 41-48, February.
    3. Calvo, Guillermo & Vegh, Carlos, 1992. "Currency Substitution in Developing Countries: An Introduction," MPRA Paper 20338, University Library of Munich, Germany.
    4. Seitz, Franz, 1995. "The circulation of Deutsche Mark abroad," Discussion Paper Series 1: Economic Studies 1995,01e, Deutsche Bundesbank.
    5. Adam Bennett & Eduardo Borensztein & Tomás J. T. Baliño, 1999. "Monetary Policy in Dollarized Economies," IMF Occasional Papers 171, International Monetary Fund.
    6. Feige, Edgar L, 1994. "The Underground Economy and the Currency Enigma," Public Finance = Finances publiques, , vol. 49(Supplemen), pages 119-136.
    7. Edgar L. Feige & Michael Faulend & Velimir Sonje & Vedran Sosic, 2001. "Currency Substitution, Unoffical Dollarization and Estimates of Foreign Currency Held Abroad: The Case of Croatia," International Finance 0106001, EconWPA.
    8. Feige, Edgar L., 1997. "Revised estimates of the Underground Economy: Implications of US Currency held abroad," MPRA Paper 13805, University Library of Munich, Germany.
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    Cited by:

    1. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
    2. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
    3. Clements, Michael P. & Smith, Jeremy, 2002. "Evaluating multivariate forecast densities: a comparison of two approaches," International Journal of Forecasting, Elsevier, vol. 18(3), pages 397-407.
    4. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
    5. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    7. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
    8. Nakamura, Emi, 2005. "Inflation forecasting using a neural network," Economics Letters, Elsevier, vol. 86(3), pages 373-378, March.
    9. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
    10. Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, Center for Economic and Financial Research (CEFIR).
    11. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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