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Citations for "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?"

by Pesaran, H.M. & Timmermann, A.

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  1. Lahiri, Kajal & Yao, Vincent Wenxiong, 2006. "Economic indicators for the US transportation sector," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(10), pages 872-887, December.
  2. Norman Swanson & Nii Ayi Armah, 2006. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 200619, Rutgers University, Department of Economics.
  3. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper 2007-35, Tilburg University, Center for Economic Research.
  4. repec:ebl:ecbull:v:30:y:2010:i:1:p:292-302 is not listed on IDEAS
  5. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  6. Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
  7. Gil-Alana, Luis A. & Chang, Shinhye & Balcilar, Mehmet & Aye, Goodness C. & Gupta, Rangan, 2015. "Persistence of precious metal prices: A fractional integration approach with structural breaks," Resources Policy, Elsevier, vol. 44(C), pages 57-64.
  8. Emilian Dobrescu, 2014. "Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-21, December.
  9. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
  10. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
  11. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
  12. Tsuchiya, Yoichi, 2013. "Are government and IMF forecasts useful? An application of a new market-timing test," Economics Letters, Elsevier, vol. 118(1), pages 118-120.
  13. Hamid Baghestani, 2010. "Predicting the direction of change in aggregate demand growth and its components," Economics Bulletin, AccessEcon, vol. 30(1), pages 292-302.
  14. Rossen Anja, 2016. "On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 389-409, May.
  15. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.
  16. Lee, Junsoo & List, John A. & Strazicich, Mark C., 2006. "Non-renewable resource prices: Deterministic or stochastic trends?," Journal of Environmental Economics and Management, Elsevier, vol. 51(3), pages 354-370, May.
  17. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  18. Norman Swanson & Valentina Corradi, 2004. "Predictive Density Accuracy Tests," Working Papers wp04-16, Warwick Business School, Finance Group.
  19. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
  20. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Discussion Paper 2010-84, Tilburg University, Center for Economic Research.
  21. Jiang, Yu & Song, Zhe & Kusiak, Andrew, 2013. "Very short-term wind speed forecasting with Bayesian structural break model," Renewable Energy, Elsevier, vol. 50(C), pages 637-647.
  22. Ana Beatriz C. Galvao, 2006. "Structural break threshold VARs for predicting US recessions using the spread," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 463-487.
  23. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  24. Kajal Lahiri & Wenxiong Yao & Peg Young, 2003. "Cycles in the Transportation Sector and the Aggregate Economy," Discussion Papers 03-14, University at Albany, SUNY, Department of Economics.
  25. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
  26. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  27. Cem Cakmakli & Dick van Dijk, 2010. "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers 10-115/4, Tinbergen Institute.
  28. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
  29. Ubilava, David, 2016. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," Working Papers 2016-10, University of Sydney, School of Economics.
  30. Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005. "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24702, European Association of Agricultural Economists.
  31. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  32. Tsuchiya, Yoichi, 2016. "Directional analysis of fiscal sustainability: Revisiting Domar's debt sustainability condition," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 189-201.
  33. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
  34. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008. "How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  35. Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012. "Testing for Persistence with Breaks and Outliers in South African House Prices," Working Papers 201233, University of Pretoria, Department of Economics.
  36. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  37. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
  38. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  39. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  40. Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  41. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  42. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
  43. Dungey, Mardi & Jacobs, Jan P.A.M. & Tian, Jing, 2016. "Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks," Working Papers 2016-04, University of Tasmania, Tasmanian School of Business and Economics.
  44. Kanas, Angelos & Kouretas, Georgios P., 2005. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 181-201.
  45. Yoichi Tsuchiya, 2012. "Is the Purchasing Managers' Index useful for assessing the economy's strength? A directional analysis," Economics Bulletin, AccessEcon, vol. 32(2), pages 1302-1311.
  46. Tsuchiya, Yoichi, 2014. "Purchasing and supply managers provide early clues on the direction of the US economy: An application of a new market-timing test," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 599-618.
  47. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
  48. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
  49. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
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