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Citations for "Forecasting Economic Time Series"

by Clements,Michael & Hendry,David

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  1. Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 0247, European Central Bank.
  2. Lui, Silvia & Mitchell, James & Weale, Martin, 2011. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1128-1146, October.
  3. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge.
  4. Ippei Fujiwara & Maiko Koga, 2002. "A Statistical Forecasting Method for Inflation Forecasting," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  5. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," IEPR Working Papers 06.42, Institute of Economic Policy Research (IEPR).
  6. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & Georgios P. Kouretas, 2006. "Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 371-383.
  7. S Cook, 2011. "An historical perspective on the forecasting performance of the Treasury Model: Forecasting the growth in UK consumers' expenditure," Post-Print hal-00665455, HAL.
  8. Kunst, Robert M. & Jumah, Adusei, 2004. "Toward a Theory of Evaluating Predictive Accuracy," Economics Series 162, Institute for Advanced Studies.
  9. Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.
  10. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 33-41, January.
  11. Janine Aron, 2009. "Some Issues in Modeling and Forecasting Inflation in South Africa," Economics Series Working Papers CSAE WPS/2009-01, University of Oxford, Department of Economics.
  12. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series 160, Institute for Advanced Studies.
  13. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working Papers 200913, University of Pretoria, Department of Economics.
  14. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
  15. Kevin Moran & Veronika Dolar, 2002. "Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data," Staff Working Papers 02-18, Bank of Canada.
  16. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
  17. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922, July.
  18. Janine Aron & John Muellbauer & Coen Pretorius, 2004. "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems 0409054, EconWPA.
  19. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  20. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  21. Fildes, Robert, 2006. "The forecasting journals and their contribution to forecasting research: Citation analysis and expert opinion," International Journal of Forecasting, Elsevier, vol. 22(3), pages 415-432.
  22. Barrell, R. & Pina, A.M., 2000. "How Important are Automatic Stabilizers in Europe? A Stochastic Simulation Assessment," Economics Working Papers eco2000/2, European University Institute.
  23. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
  24. Artis, Michael J & Banerjee, Anindya & Marcellino, Massimiliano, 2002. "Factor Forecasts for the UK," CEPR Discussion Papers 3119, C.E.P.R. Discussion Papers.
  25. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
  26. 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.
  27. Christian Ragacs & Martin Schneider, 2009. "Why did we fail to predict GDP during the last cycle? A breakdown of forecast errors for Austria," Working Papers 151, Oesterreichische Nationalbank (Austrian Central Bank).
  28. Janine Aron & John Muellbauer, 2000. "Inflation and Output Forecasting for South Africa: Monetary Transmission Implications," Economics Series Working Papers WPS/2000-23, University of Oxford, Department of Economics.
  29. Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  30. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
  31. 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.
  32. repec:hal:journl:hal-00921283 is not listed on IDEAS
  33. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2014. "Forecast combinations in a DSGE-VAR lab," Economics Series 309, Institute for Advanced Studies.
  34. repec:ecb:ecbwps:20141803 is not listed on IDEAS
  35. Hugo Oliveros & Luisa Fernanda Silva, . "La Demanda por Importaciones en Colombia," Borradores de Economia 187, Banco de la Republica de Colombia.
  36. repec:edn:sirdps:274 is not listed on IDEAS
  37. 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.
  38. Carlo Favero & Massimiliano Marcellino, 2005. "Modelling and Forecasting Fiscal Variables for the Euro Area," Working Papers 298, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  39. Carvalho, Alexandre X. & Tanner, Martin A., 2007. "Modelling nonlinear count time series with local mixtures of Poisson autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 51(11), pages 5266-5294, July.
  40. Francis Vitek, 2005. "An Unobserved Components Model of the Monetary Transmission Mechanism in a Closed Economy," Macroeconomics 0512018, EconWPA, revised 04 Feb 2006.
  41. Zeyyad Mandalinci, 2015. "Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models," CReMFi Discussion Papers 3, CReMFi, School of Economics and Finance, QMUL.
  42. Sanders, Dwight R. & Manfredo, Mark R., 2002. "Usda Production Forecasts For Pork, Beef, And Broilers: An Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(01), July.
  43. Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  44. David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
  45. Goodness C. Aye & Rangan Gupta & Stephen M. Miller & Mehmet Balcilar, 2014. "Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors," Working papers 2014-10, University of Connecticut, Department of Economics.
  46. Andersson, Andreas & Österholm, Pär, 2001. "The Impact of Demography on the Real Exchange Rate," Working Paper Series 2001:11, Uppsala University, Department of Economics.
  47. Mehmet Balcilar & Rangan Gupta & Zahra Shah, 2010. "An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa," Working Papers 201008, University of Pretoria, Department of Economics.
  48. Österholm, Pär, 2006. "Incorporating Judgement in Fan Charts," Working Paper Series 2006:30, Uppsala University, Department of Economics.
  49. Silvia Lui & James Mitchell & Martin Weale, 2011. "Qualitative business surveys: signal or noise?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(2), pages 327-348, 04.
  50. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers 250, Netherlands Central Bank, Research Department.
  51. Marc Wildi & Bernd Schips, 2004. "Signal Extraction: How (In)efficient are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA," KOF Working papers 04-96, KOF Swiss Economic Institute, ETH Zurich.
  52. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
  53. Rossi, Barbara & Giacomini, Raffaella, 2006. "Detecting and Predicting Forecast Breakdowns," Working Papers 06-01, Duke University, Department of Economics.
  54. Claudio Borio & Claudio Mathias Drehmann, 2009. "Towards an operational framework for financial stability: "fuzzy" measurement and its consequences," BIS Working Papers 284, Bank for International Settlements.
  55. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
  56. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012. "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series 292, Institute for Advanced Studies.
  57. 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.
  58. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  59. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  60. repec:kap:iaecre:v:18:y:2012:i:3:p:247-258 is not listed on IDEAS
  61. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014. "Misspecification Testing: Non-Invariance of Expectations Models of Inflation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
  62. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
  63. Hendry, David F. & Mizon, Grayham E., 2001. "Reformulating empirical macro-econometric modelling," Discussion Paper Series In Economics And Econometrics 0104, Economics Division, School of Social Sciences, University of Southampton.
  64. Gospodinov, Nikolay, 2016. "The role of commodity prices in forecasting U.S. core inflation," FRB Atlanta Working Paper 2016-5, Federal Reserve Bank of Atlanta.
  65. Pedro Francisco Páez, 2005. "Are the Washington Consensus Policies Sustainable? Game Theoretical Assessment for the Case of Ecuador," Working Paper Series, Department of Economics, University of Utah 2005_07, University of Utah, Department of Economics.
  66. Aron, Janine & Muellbauer, John, 2010. "New methods for forecasting inflation, applied to the US," CEPR Discussion Papers 7877, C.E.P.R. Discussion Papers.
  67. Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014. "Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, 04.
  68. Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers 1137, University of Strathclyde Business School, Department of Economics.
  69. Sánchez, Ismael, 2008. "Adaptive combination of forecasts with application to wind energy," International Journal of Forecasting, Elsevier, vol. 24(4), pages 679-693.
  70. Viviana Fernandez, 2008. "Traditional versus novel forecasting techniques: how much do we gain?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 637-648.
  71. Knetsch, Thomas A., 2006. "Forecasting the price of crude oil via convenience yield predictions," Discussion Paper Series 1: Economic Studies 2006,12, Deutsche Bundesbank, Research Centre.
  72. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  73. Capistrán, Carlos, 2008. "Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1415-1427, November.
  74. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  75. Pesaran, M Hashem & Timmermann, Allan G, 2004. "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers 4401, C.E.P.R. Discussion Papers.
  76. Rapach, David E. & Strauss, Jack K., 2012. "Forecasting US state-level employment growth: An amalgamation approach," International Journal of Forecasting, Elsevier, vol. 28(2), pages 315-327.
  77. Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, vol. 26(4), pages 725-743, October.
  78. Kenneth Gillingham & William Nordhaus & David Anthoff & Valentina Bosetti & Haewon McJeon & Geoffrey Blanford & Peter Christensen & John Reilly & Paul Sztorc, 2016. "Modeling Uncertainty in Climate Change: A Multi-Model Comparison," Working Papers 2016.13, Fondazione Eni Enrico Mattei.
  79. Bewley, Ronald & Haddock, Joanna, 2004. "Controlling spurious drift," Economics Letters, Elsevier, vol. 84(1), pages 81-85, July.
  80. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, 06.
  81. Jan Dehn, 2000. "Commodity Price Uncertainty in Developing Countries," Economics Series Working Papers WPS/2000-12, University of Oxford, Department of Economics.
  82. K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze & G. Rünstler, 2008. "Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise," Working Paper Research 133, National Bank of Belgium.
  83. Christopher Adam, . "The Transactions Demand for Money in Chile," QEH Working Papers qehwps60, Queen Elizabeth House, University of Oxford.
  84. Piotr Białowolski, 2011. "Forecasting inflation with consumer survey data – application of multi-group confirmatory factor analysis to elimination of the general sentiment factor," National Bank of Poland Working Papers 100, National Bank of Poland, Economic Institute.
  85. Rómulo Chumacero, 2010. "On the Importance of the Arrival of New Information," Estudios de Economia, University of Chile, Department of Economics, vol. 37(2 Year 20), pages 207-215, December.
  86. 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.
  87. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2005. "Forecasting Canadian Time Series with the New-Keynesian Model," Cahiers de recherche 0527, CIRPEE.
  88. Dobrescu, Emilian, 2004. "Double conditioned potential output," MPRA Paper 35769, University Library of Munich, Germany.
  89. Victor Bystrov, 2006. "Forecasting Emerging Market Indicators: Brazil and Russia," Economics Working Papers ECO2006/12, European University Institute.
  90. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  91. David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford.
  92. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  93. Giraitis, Liudas & Kapetanios, George & Price, Simon, 2014. "Adaptive forecasting in the presence of recent and ongoing structural change," Bank of England working papers 490, Bank of England.
  94. Dora Borbély & Carsten-Patrick Meier, 2003. "Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy.
  95. Hurmekoski, Elias & Hetemäki, Lauri, 2013. "Studying the future of the forest sector: Review and implications for long-term outlook studies," Forest Policy and Economics, Elsevier, vol. 34(C), pages 17-29.
  96. Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  97. Janine Aron & John Muellbauer, 2009. "Some Issues in Modeling and Forecasting Inflation in South Africa," CSAE Working Paper Series 2009-01, Centre for the Study of African Economies, University of Oxford.
  98. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers 04.6, Institute of Economic Policy Research (IEPR).
  99. Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans, 2008. "Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts," CPB Document 172, CPB Netherlands Bureau for Economic Policy Analysis.
  100. BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K., 2011. "A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models," CORE Discussion Papers 2011003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  101. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Papers 72, National Institute of Economic Research.
  102. Philip Rothman, 2000. "Review of Forecasting Non-Stationary Economic Time Series, by Michael P. Clements and David F. Hendry," Working Papers 0016, East Carolina University, Department of Economics.
  103. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, December.
  104. João Valle e Azevedo & Ana Pereira, 2013. "Macroeconomic Forecasting Using Low-Frequency Filters," Working Papers w201301, Banco de Portugal, Economics and Research Department.
  105. Seitz, Franz & Brand, Claus & Reimers, Hans-Eggert, 2003. "Forecasting real GDP: what role for narrow money?," Working Paper Series 0254, European Central Bank.
  106. Borbély, Dóra & Meier, Carsten-Patrick, 2003. "Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy (IfW).
  107. Ruth, Karsten, 2008. "Macroeconomic forecasting in the EMU: Does disaggregate modeling improve forecast accuracy?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 417-429.
  108. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
  109. Oscar Jorda, 2004. "Model-Free Impulse Responses," Working Papers 68, University of California, Davis, Department of Economics.
  110. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," Ifo Working Paper Series Ifo Working Papers No. 10, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  111. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
  112. 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.
  113. David Hendry & Maozu Lu, 2001. "Model Identification and Non-unique Structure," Economics Series Working Papers 2002-W10, University of Oxford, Department of Economics.
  114. Abdul Qayyum & Faiz Bilquees, 2005. "P-Star Model: A Leading Indicator of Inflation for Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(2), pages 117-129.
  115. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge.
  116. David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
  117. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  118. 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.
  119. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
  120. Shea, Paul, 2015. "Red herrings and revelations: does learning about a new variable worsen forecasts?," Economic Modelling, Elsevier, vol. 49(C), pages 395-406.
  121. repec:onb:oenbwp:y::i:151:b:1 is not listed on IDEAS
  122. Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
  123. Karen Dury & Ray Barell & Ian Hurst, 2000. "An Encompassing Framework For Evaluating Simple Monetary Policy Rules," Computing in Economics and Finance 2000 184, Society for Computational Economics.
  124. Ralf Brüggemann & Helmut Lütkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Working Paper Series of the Department of Economics, University of Konstanz 2011-23, Department of Economics, University of Konstanz.
  125. Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
  126. David Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Series Working Papers 2013-W04, University of Oxford, Department of Economics.
  127. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  128. Aron, Janine & Muellbauer, John & Sebudde, Rachel, 2015. "Inflation forecasting models for Uganda: is mobile money relevant?," CEPR Discussion Papers 10739, C.E.P.R. Discussion Papers.
  129. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
  130. Zhang, Feng, 2007. "An application of vector GARCH model in semiconductor demand planning," European Journal of Operational Research, Elsevier, vol. 181(1), pages 288-297, August.
  131. 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).
  132. Eitrheim,O. & Jansen,E.S. & Nymoen,R., 2000. "Progress from forecast failure : the Norwegian consumption function," Memorandum 32/2000, Oslo University, Department of Economics.
  133. Franses, Ph.H.B.F., 2003. "Do we make better forecasts these days? A survey amongst academics," Econometric Institute Research Papers EI 2003-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  134. 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.
  135. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society.
  136. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
  137. repec:wyi:journl:002213 is not listed on IDEAS
  138. Fawcett, Nicholas & Koerber, Lena & Masolo, Riccardo & Waldron, Matthew, 2015. "Evaluating UK point and density forecasts from an estimated DSGE model: the role of off-model information over the financial crisis," Bank of England working papers 538, Bank of England.
  139. Prasad S. Bhattacharya & Dimitrios D. Thomakos, 2006. "Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?," Economics Series 2006_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  140. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
  141. David F. Hendry & Carlos Santos, 2005. "Regression Models with Data-based Indicator Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 571-595, October.
  142. Bruér, Mattias, 2002. "Can Demography Improve Inflation Forecasts? The Case of Sweden," Working Paper Series 2002:4, Uppsala University, Department of Economics.
  143. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  144. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315.
  145. Nombulelo Gumata, Alain Kabundi and Eliphas Ndou, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  146. Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working Papers 201009, University of Pretoria, Department of Economics.
  147. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
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  314. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
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  319. Carlos Capistrán, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
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  328. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany : do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
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  333. David Hendry & Carlos Santos, 2003. "Regression Models with Data-based Indicator Variables," Economics Series Working Papers 2004-W04, University of Oxford, Department of Economics.
  334. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.