How far can we forecast? Statistical tests of the predictive content
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City, revised 1999.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- John W. Galbraith & Greg Tkacz, 2007.
"Forecast content and content horizons for some important macroeconomic time series,"
Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 935-953, August.
- John W. Galbraith & Greg Tkacz, 2007. "Forecast content and content horizons for some important macroeconomic time series," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 935-953, August.
- John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics.
- West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability,"
Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
- West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers 9417, Wisconsin Madison - Social Systems.
- Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, University Library of Munich, Germany.
- Isiklar, Gultekin & Lahiri, Kajal, 2007.
"How far ahead can we forecast? Evidence from cross-country surveys,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 167-187.
- Kajal Lahiri & Gultekin Isiklar, 2006. "How Far Ahead Can We Forecast? Evidence From Cross-country Surveys," Discussion Papers 06-04, University at Albany, SUNY, Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Jorge Abad & Javier Suarez, 2018.
"The Procyclicality of Expected Credit Loss Provisions,"
Working Papers
wp2018_1806, CEMFI.
- Abad, Jorge & Suarez, Javier, 2018. "The Procyclicality of Expected Credit Loss Provisions," CEPR Discussion Papers 13135, C.E.P.R. Discussion Papers.
- M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
More about this item
Keywords
Hypothesis Testing; Predictive Accuracy; Informativeness;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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-05-21 (Econometrics)
- NEP-ETS-2018-05-21 (Econometric Time Series)
- NEP-FOR-2018-05-21 (Forecasting)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:bubdps:072018. 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: (ZBW - Leibniz Information Centre for Economics). General contact details of provider: http://edirc.repec.org/data/dbbgvde.html .
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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.