R2 bounds for predictive models: what univariate properties tell us about multivariate predictability
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References listed on IDEAS
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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More about this item
Keywordsattention; internet search; Google; monetary policy; ECB; FED; international financial markets; macro-finance; sovereign bonds; international finance; bond markets; preferred habitat models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-04-30 (All new papers)
- NEP-BIG-2018-04-30 (Big Data)
- NEP-ECM-2018-04-30 (Econometrics)
- NEP-FOR-2018-04-30 (Forecasting)
- NEP-MAC-2018-04-30 (Macroeconomics)
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