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Comparing Information in Forecasts from Econometric Models

Citations

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Cited by:

  1. Hamid Baghestani, 2009. "Evaluating random walk forecasts of exchange rates," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(3), pages 171-181, July.
  2. Paul Hubert, 2015. "Do Central Bank Forecasts Influence Private Agents? Forecasting Performance versus Signals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 771-789, June.
  3. Lanne, Markku, 2007. "The Properties of Market-Based and Survey Forecasts for Different Data Releases," MPRA Paper 3877, University Library of Munich, Germany.
  4. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
  5. den Butter, Frank A. G. & Morgan, Mary S., 1998. "What makes the models-policy interaction successful?," Economic Modelling, Elsevier, vol. 15(3), pages 443-475, July.
  6. Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003. "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 618-628, August.
  7. Mark Weder, 2010. "Economic Crisis and Economic Theory," The Economic Record, The Economic Society of Australia, vol. 86(s1), pages 7-12, September.
  8. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
  9. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  10. Łyziak, Tomasz & Paloviita, Maritta, 2017. "Formation of inflation expectations in turbulent times: Can ECB manage inflation expectations of professional forecasters?," Bank of Finland Research Discussion Papers 13/2017, Bank of Finland.
  11. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  12. Francisco Dias & Maximiano Pinheiro & António Rua, 2018. "A bottom-up approach for forecasting GDP in a data-rich environment," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 718-723, June.
  13. Kausik Chaudhuri & Saumitra N. Bhaduri, 2019. "Inflation Forecast: Just use the Disaggregate or Combine it with the Aggregate," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 331-343, June.
  14. Thomakos, Dimitrios D. & Guerard, John Jr., 2004. "Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance," International Journal of Forecasting, Elsevier, vol. 20(1), pages 53-67.
  15. Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 14, pages 715-776, Elsevier.
  16. Hamid Baghestani, 2008. "Predicting capacity utilization: Federal Reserve vs time-series models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 47-57, January.
  17. Hamid Baghestani, 2006. "An evaluation of the professional forecasts of U.S. long‐term interest rates," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 177-191.
  18. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
  19. Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.
  20. T. J. Brailsford & K. Maheswaran, 1998. "The Dynamics of the Australian Short†Term Interest Rate," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 213-234, December.
  21. Domenico J. Marchetti & Giuseppe Parigi, 1998. "Energy Consumption, Survey Data and the Prediction of Industrial Production in Italy," Temi di discussione (Economic working papers) 342, Bank of Italy, Economic Research and International Relations Area.
  22. Markku Lanne, 2009. "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases," Economics Bulletin, AccessEcon, vol. 29(3), pages 2231-2240.
  23. Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013. "Prediction Markets for Economic Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 657-687, Elsevier.
  24. Kamstra, Mark & Kennedy, Peter, 1998. "Combining qualitative forecasts using logit," International Journal of Forecasting, Elsevier, vol. 14(1), pages 83-93, March.
  25. Bonato, Matteo & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2018. "Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach," Resources Policy, Elsevier, vol. 57(C), pages 196-212.
  26. Demirer, Riza & Pierdzioch, Christian & Zhang, Huacheng, 2017. "On the short-term predictability of stock returns: A quantile boosting approach," Finance Research Letters, Elsevier, vol. 22(C), pages 35-41.
  27. David, DE LA CROIX & Bo, MALMBERG, 2006. "Growth and Longevity from the Industrial Revolution to the Future of an Aging Society," Discussion Papers (ECON - Département des Sciences Economiques) 2006037, Université catholique de Louvain, Département des Sciences Economiques.
  28. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 613-614, December.
  29. Arnold Cote, K. Nicole & Smith, Wm. Doyle & Fullerton, Thomas M., Jr., 2010. "Municipal Non-Residential Real Property Valuation Forecast Accuracy," MPRA Paper 32116, University Library of Munich, Germany, revised 11 Feb 2011.
  30. repec:zbw:bofrdp:2017_013 is not listed on IDEAS
  31. Piotr Wdowiński & Aneta Zglińska-Pietrzak, 2005. "The Warsaw Stock Exchange Index WIG: Modeling and Forecasting," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński (ed.), Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, edition 1, volume 127, chapter 7, pages 115-127, University of Lodz.
  32. Hamid Baghestani, 2016. "Interest rate movements and US consumers’ inflation forecast errors: is there a link?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 623-630, July.
  33. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  34. Antonis Michis, 2012. "Monitoring Forecasting Combinations with Semiparametric Regression Models," Working Papers 2012-2, Central Bank of Cyprus.
  35. Francis X. Diebold & Roberto S. Mariano, 1991. "Comparing predictive accuracy I: an asymptotic test," Discussion Paper / Institute for Empirical Macroeconomics 52, Federal Reserve Bank of Minneapolis.
  36. Goodman, Allen C. & Thibodeau, Thomas G., 2003. "Housing market segmentation and hedonic prediction accuracy," Journal of Housing Economics, Elsevier, vol. 12(3), pages 181-201, September.
  37. Bloom, David E. & Canning, David & Fink, Gunther & Finlay, Jocelyn E., 2007. "Does age structure forecast economic growth?," International Journal of Forecasting, Elsevier, vol. 23(4), pages 569-585.
  38. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
  39. Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
  40. Carlo Altavilla & Paul De Grauwe, 2010. "Forecasting and combining competing models of exchange rate determination," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3455-3480.
  41. Owain Ap Gwilym & Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 73-94.
  42. Mark Weder, 2006. "Some Observations on the Great Depression in Germany," German Economic Review, Verein für Socialpolitik, vol. 7(1), pages 113-133, February.
  43. Baghestani, Hamid, 2006. "An evaluation of the professional forecasts of U.S. long-term interest rates," Review of Financial Economics, Elsevier, vol. 15(2), pages 177-191.
  44. repec:spo:wpmain:info:hdl:2441/3pot7260lh88lrfhrhvs85lh2f is not listed on IDEAS
  45. T. Hendricks & B. Kempa & C. Pierdzioch, 2010. "Do local analysts have an informational advantage in forecasting stock returns? Evidence from the German DAX30," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 137-158, June.
  46. repec:hal:spmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  47. Paul Hubert, 2015. "Revisiting the Greenbook’s relative forecasting performance," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 151-179.
  48. West, Kenneth D., 2001. "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, vol. 105(1), pages 287-308, November.
  49. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August.
  50. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  51. West, Kenneth D & McCracken, Michael W, 1998. "Regression-Based Tests of Predictive Ability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-840, November.
  52. Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
  53. Parigi, Giuseppe & Golinelli, Roberto, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
  54. Refet Gürkaynak & Justin Wolfers, 2005. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2005, pages 11-50, National Bureau of Economic Research, Inc.
  55. Clements, Michael P., 2016. "Long-run restrictions and survey forecasts of output, consumption and investment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 614-628.
  56. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
  57. Frank A. G. den Butter & Pieter W. Jansen, 2013. "Beating the random walk: a performance assessment of long-term interest rate forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
  58. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
  59. Rakesh K. Bissoondeeal & Michail Karoglou & Alicia M. Gazely, 2011. "Forecasting The Uk/Us Exchange Rate With Divisia Monetary Models And Neural Networks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(1), pages 127-152, February.
  60. Norman R. Swanson & Halbert White, 1997. "A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
  61. Janine Aron & John Muellbauer, 2008. "New methods for forecasting inflation and its sub-components: application to the USA," Economics Series Working Papers 406, University of Oxford, Department of Economics.
  62. Andrea Brischetto & Graham Voss, 2000. "Forecasting Australian Economic Activity Using Leading Indicators," RBA Research Discussion Papers rdp2000-02, Reserve Bank of Australia.
  63. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  64. repec:hal:spmain:info:hdl:2441/35kgubh40v9gfpnuruelqjnptb is not listed on IDEAS
  65. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201, Elsevier.
  66. Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
  67. Bahram Adrangi & Mary Allender, 1998. "Budget deficits and stock prices: International evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 57-66, June.
  68. Liebermann, Joelle, 2010. "Real-time nowcasting of GDP: Factor model versus professional forecasters," MPRA Paper 28819, University Library of Munich, Germany.
  69. Héctor Mauricio Nunez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," Revista de Economía del Rosario, Universidad del Rosario, December.
  70. Weder, Mark, 2001. "The Great Demand Depression," CEPR Discussion Papers 3067, C.E.P.R. Discussion Papers.
  71. Nikolay Robinzonov & Klaus Wohlrabe, 2010. "Freedom of Choice in Macroeconomic Forecasting ," CESifo Economic Studies, CESifo Group, vol. 56(2), pages 192-220, June.
  72. Antonis Michis, 2012. "Monitoring Forecasting Combinations with Semiparametric Regression Models," Working Papers 2012-02, Central Bank of Cyprus.
  73. repec:lan:wpaper:470 is not listed on IDEAS
  74. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
  75. Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 10-57, June.
  76. Gupta, Rangan & Pierdzioch, Christian & Vivian, Andrew J. & Wohar, Mark E., 2019. "The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests," Finance Research Letters, Elsevier, vol. 29(C), pages 315-322.
  77. Evelyn Nwamaka Ogbeide-Osaretin & Victoria Nkiruka Ishiwu, 2021. "Macroeconomic Shocks and Aggregate Welfare in Sub-Saharan African Countries," Business & Management Compass, University of Economics Varna, issue 4, pages 380-396.
  78. John C. Robertson & Ellis W. Tallman, 1998. "Data vintages and measuring forecast model performance," Economic Review, Federal Reserve Bank of Atlanta, vol. 83(Q 4), pages 4-20.
  79. Baghestani, Hamid, 2009. "Forecasting in efficient bond markets: Do experts know better?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 624-630, October.
  80. de la Croix, David & Lindh, Thomas & Malmberg, Bo, 2009. "Demographic change and economic growth in Sweden: 1750-2050," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 132-148, March.
  81. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
  82. Abosedra, Salah & Baghestani, Hamid, 2004. "On the predictive accuracy of crude oil futures prices," Energy Policy, Elsevier, vol. 32(12), pages 1389-1393, August.
  83. Liao, Li-Chuan & Chou, Ray Yeutien & Chiu, Banghan, 2013. "Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 72-91.
  84. Piotr Wdowinski, 2004. "Determinants of Country Beta Risk in Poland," CESifo Working Paper Series 1120, CESifo.
  85. António Rua, 2011. "A wavelet approach for factor‐augmented forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 666-678, November.
  86. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
  87. Kent Wang, 2010. "Forecasting volatilities in equity, bond and money markets: A market-based approach," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 165-180, August.
  88. Salyer, Kevin D., 1995. "The macroeconomics of self-fulfilling prophecies A review essay," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 215-242, February.
  89. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
  90. Michael P. Clements & David I. Harvey, 2010. "Forecast encompassing tests and probability forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
  91. Guerrero Víctor M. & García Andrea C. & Sainz Esperanza, 2013. "Rapid Estimates of Mexico’s Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 29(3), pages 397-423, June.
  92. Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Bank of Finland Research Discussion Papers 4/1991, Bank of Finland.
  93. Gerit Vogt, 2010. "VAR-Prognose-Pooling : ein Ansatz zur Verbesserung der Informationsgrundlage der ifo Dresden Konjunkturprognosen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 17(02), pages 32-40, 04.
  94. Sandrine Lardic & Auguste Mpacko Priso, 1999. "Une comparaison des prévisions des experts à celles issues des modèles B VAR," Économie et Prévision, Programme National Persée, vol. 140(4), pages 161-180.
  95. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  96. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  97. repec:hal:spmain:info:hdl:2441/3pot7260lh88lrfhrhvs85lh2f is not listed on IDEAS
  98. Duleep, Harriet & Liu, Xingfei, 2015. "How the Demand for Labor May Adapt to the Availability of Labor: A Preliminary Exploration with Historical Data," IZA Discussion Papers 8918, Institute of Labor Economics (IZA).
  99. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  100. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Elements in the Design of an Early Warning System for Sovereign Default," Computing in Economics and Finance 2004 231, Society for Computational Economics.
  101. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
  102. Xiaoming Cai & Wouter J. Den Haan & Jonathan Pinder, 2016. "Predictable Recoveries," Economica, London School of Economics and Political Science, vol. 83(330), pages 307-337, April.
  103. B. Onur Tas, 2012. "Why does the Federal Reserve Forecast Inflation Better than Everyone Else?," Working Papers 1207, TOBB University of Economics and Technology, Department of Economics.
  104. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  105. TERREGROSSA Salvatore, 2010. "On the Efficacy of Constraints on the Linear Combination Forecast Model," EcoMod2003 330700144, EcoMod.
  106. Luis Fernando Melo & Héctor Núñez, 2004. "Combinación de Pronósticos de la Inflación en Presencia de cambios Estructurales," Borradores de Economia 286, Banco de la Republica de Colombia.
  107. Łyziak, Tomasz & Paloviita, Maritta, 2017. "Formation of inflation expectations in turbulent times : Can ECB manage inflation expectations of professional forecasters?," Research Discussion Papers 13/2017, Bank of Finland.
  108. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
  109. Cai, Xiaoming & Den Haan, Wouter J. & Pinder, Jonathan, 2016. "Predictable recoveries," LSE Research Online Documents on Economics 65188, London School of Economics and Political Science, LSE Library.
  110. Bedri Tas, 2004. "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003 100, Money Macro and Finance Research Group.
  111. Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and realized volatility of major commodity currency exchange rates," Journal of Financial Markets, Elsevier, vol. 62(C).
  112. Elkin Castaño & Luis Fernando Melo, 1998. "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia.
  113. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  114. Baghestani, Hamid, 2008. "A random walk approach to predicting US 30-year home mortgage rates," Journal of Housing Economics, Elsevier, vol. 17(3), pages 225-233, September.
  115. Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Research Discussion Papers 4/1991, Bank of Finland.
  116. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
  117. Elisa Keller, 2007. "Classical and Bayesian Methods for the VAR Analysis: International Comparisons," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 149-202, November-.
  118. Ray C. Fair & Arnold Zellner (ary), 1992. "The Cowles Commission approach, real business cycles theories, and New- Keynesian economics," Proceedings, Federal Reserve Bank of St. Louis, pages 133-157.
  119. Yutaka Kurihara & Akio Fukushima, 2019. "AR Model or Machine Learning for Forecasting GDP and Consumer Price for G7 Countries," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 1-6, May.
  120. Paul Hubert, 2010. "Monetary Policy, Imperfect Information and the Expectations Channel," Sciences Po publications info:hdl:2441/f4rshpf3v1u, Sciences Po.
  121. Wu, Yih-Jiuan, 1998. "Exchange rate forecasting: an application of radial basis function neural networks," ISU General Staff Papers 1998010108000013540, Iowa State University, Department of Economics.
  122. David G. Lenze, 2000. "Forecast Accuracy and Efficiency: An Evaluation of Ex Ante Substate Long-Term Forecasts," International Regional Science Review, , vol. 23(2), pages 201-226, April.
  123. Ray Fair & John Oster, 2002. "College Football Rankings and Market Efficiency," Yale School of Management Working Papers amz2377, Yale School of Management, revised 01 Aug 2007.
  124. Christian Pierdzioch & Rangan Gupta & Hossein Hassani & Emmanuel Silva, 2018. "Forecasting Changes of Economic Inequality: A Boosting Approach," Working Papers 201868, University of Pretoria, Department of Economics.
  125. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  126. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
  127. Łyziak, Tomasz & Paloviita, Maritta, 2018. "On the formation of inflation expectations in turbulent times: The case of the euro area," Economic Modelling, Elsevier, vol. 72(C), pages 132-139.
  128. Campa, Jose Manuel & Chang, P. H. Kevin, 1998. "The forecasting ability of correlations implied in foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 855-880, December.
  129. Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michele Modugno, 2012. "An Area-Wide Real-Time Database for the Euro Area," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1000-1013, November.
  130. Paul Hubert, 2010. "Monetary policy, imperfect information and the expectations channel [Politique monétaire,information imparfaite et canal des anticipations]," SciencePo Working papers Main tel-04095385, HAL.
  131. Benjamin M. Friedman, 1995. "Does Monetary Policy Affect Real Economic Activity?: Why Do We Still Ask This Question?," NBER Working Papers 5212, National Bureau of Economic Research, Inc.
  132. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
  133. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  134. Thomas M. Fullerton Jr. & George Novela, 2010. "Metropolitan Maquiladora Econometric Forecast Accuracy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 124-140, September.
  135. James H. Stock & Mark W. Watson, 2010. "Indicators for Dating Business Cycles: Cross-History Selection and Comparisons," American Economic Review, American Economic Association, vol. 100(2), pages 16-19, May.
  136. Lastrapes, William D., 2002. "Comments on 'A vector error-correction forecasting model of the US economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 607-611, December.
  137. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Proxying for Expected Returns with Price Earnings Ratios," Finance 0410019, University Library of Munich, Germany.
  138. Brad S. Trinkle, 2005. "Forecasting annual excess stock returns via an adaptive network‐based fuzzy inference system," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 13(3), pages 165-177, July.
  139. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
  140. Hiroyuki Kawakatsu, 2021. "Information in daily data volatility measurements," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1642-1656, April.
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