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Citations for "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks"

by Allan Timmermann & M. Hashem Pesaran

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  1. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
  2. Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
  3. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
  4. Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute for the Study of Labor (IZA).
  5. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  6. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
  8. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  9. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
  10. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  11. 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.
  12. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers 634, Queen Mary University of London, School of Economics and Finance.
  13. Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, . "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
  14. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," CEPR Discussion Papers 7446, C.E.P.R. Discussion Papers.
  15. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
  16. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, School of Economics and Management, University of Aarhus.
  17. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  18. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
  19. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  20. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
  21. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo Group Munich.
  22. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  23. Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2014. "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers 2014-476, Department of Research, Ipag Business School.
  24. Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
  25. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  26. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 471-491.
  27. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "Housing and the Great Depression," Working papers 2012-47, University of Connecticut, Department of Economics.
  28. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
  29. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
  30. repec:wyi:journl:002213 is not listed on IDEAS
  31. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  32. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
  33. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, vol. 32(6), pages 1398-1410, November.
  34. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers 2, Centre for Central Banking Studies, Bank of England.
  35. Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013. "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers 201345, University of Pretoria, Department of Economics.
  36. repec:eui:euiwps:eco2010/17 is not listed on IDEAS
  37. Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2015. "How strong is the linkage between tourism and economic growth in Europe?," Economic Modelling, Elsevier, vol. 44(C), pages 142-155.
  38. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," CORE Discussion Papers 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  39. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
  40. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  41. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
  42. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
  43. Caio Almeida & Axel Simonsen & José Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
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