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VAR, Error Correction and Pretest Forecasts at Long Horizons

Citations

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Cited by:

  1. Tae‐Hwan Kim & Stephen J. Leybourne & Paul Newbold, 2004. "Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 583-602, July.
  2. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  3. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  4. Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics.
  5. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
  6. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  7. Marcellino, Massimliano, 2004. "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 20(2), pages 359-372.
  8. Mohitosh Kejriwal & Xuewen Yu, 2019. "Generalized Forecasr Averaging in Autoregressions with a Near Unit Root," Purdue University Economics Working Papers 1318, Purdue University, Department of Economics.
  9. Elena Pesavento & Barbara Rossi, 2006. "Small‐sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1135-1155, December.
  10. Liyu Dou & Ulrich K. Müller, 2021. "Generalized Local‐to‐Unity Models," Econometrica, Econometric Society, vol. 89(4), pages 1825-1854, July.
  11. Massimiliano Marcellino, "undated". "Instability and non-linearity in the EMU," Working Papers 211, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  12. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  13. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  14. Rossi, Barbara, 2005. "Confidence Intervals for Half-Life Deviations From Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
  15. Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-273, July.
  16. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008. "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 465-481.
  17. Ulrich K. Müller & Mark W. Watson, 2016. "Measuring Uncertainty about Long-Run Predictions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1711-1740.
  18. Massimiliano Marcellino, "undated". "Forecast pooling for short time series of macroeconomic variables," Working Papers 212, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  19. Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
  20. David Hendry, 2010. "Climate Change: Lessons for our Future from the Distant Past," Economics Series Working Papers 485, University of Oxford, Department of Economics.
  21. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  22. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
  23. Müller, Ulrich K. & Wang, Yulong, 2019. "Nearly weighted risk minimal unbiased estimation," Journal of Econometrics, Elsevier, vol. 209(1), pages 18-34.
  24. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
  25. Demirel, Ufuk Devrim & Otterson, James, 2023. "Quantifying the uncertainty of long-term macroeconomic projections," Journal of Macroeconomics, Elsevier, vol. 75(C).
  26. Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
  27. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
  28. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
  29. Michael W. McCracken & Serena Ng, 2021. "FRED-QD: A Quarterly Database for Macroeconomic Research," Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
  30. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  31. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
  32. John L. Turner, 2004. "Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 513-539.
  33. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
  34. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  35. Massimiliano Marcellino, 2004. "Forecast Pooling for European Macroeconomic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 91-112, February.
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