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Optimal Tests For Nested Model Selection With Underlying Parameter Instability

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Cited by:

  1. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
  2. Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
  3. Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2023. "Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2239-2247, July.
  4. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  5. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012. "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3965-3985, October.
  6. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
  7. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  8. Caraiani, Petre, 2017. "Evaluating exchange rate forecasts along time and frequency," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 60-81.
  9. Mehmet Balcilar & Edmond Berisha & Oğuzhan Çepni & Rangan Gupta, 2022. "The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1979-1988, April.
  10. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2016. "Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach," International Journal of Forecasting, Elsevier, vol. 32(2), pages 313-323.
  11. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  12. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  13. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2016. "Ethanol and field crops: Is there a price connection?," Food Policy, Elsevier, vol. 63(C), pages 53-61.
  14. Aye, Goodness C. & Balcilar, Mehmet & El Montasser, Ghassen & Gupta, Rangan & Manjez, Nangamso C., 2016. "Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del b," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(1), pages 11-32.
  15. Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
  16. António Afonso & Valérie Mignon & Jamel Saadaoui, 2023. "On the time-varying impact of China’s bilateral political relations on its trading partners: : “doux commerce” or “trade follows the flag”?," Working Papers REM 2023/0301, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  17. Malika Hamadi & Andreas Heinen, 2011. "Ownership Structure and Firm Performance : Evidence from a non-parametric panel," DEM Discussion Paper Series 11-16, Department of Economics at the University of Luxembourg.
  18. Oguzhan Cepni, Duc Khuong Nguyen, and Ahmet Sensoy, 2022. "News Media and Attention Spillover across Energy Markets: A Powerful Predictor of Crude Oil Futures Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
  19. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 669-705.
  20. Rossi, Barbara & Sekhposyan, Tatevik, 2013. "Conditional predictive density evaluation in the presence of instabilities," Journal of Econometrics, Elsevier, vol. 177(2), pages 199-212.
  21. Bordo, Michael D. & Haubrich, Joseph G., 2022. "Some international evidence on the causal impact of the yield curve," Finance Research Letters, Elsevier, vol. 45(C).
  22. Sibande, Xolani & Demirer, Riza & Balcilar, Mehmet & Gupta, Rangan, 2023. "On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal," Resources Policy, Elsevier, vol. 85(PB).
  23. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2022. "Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa," Working Papers 202254, University of Pretoria, Department of Economics.
  24. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
  25. Raffaella Giacomini & Barbara Rossi, 2006. "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 783-795, December.
  26. Oguzhan Cepni & Tarik Dogru & Ozgur Ozdemir, 2023. "The contagion effect of COVID-19-induced uncertainty on US tourism sector: Evidence from time-varying granger causality test," Tourism Economics, , vol. 29(4), pages 906-928, June.
  27. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2021. "Time-varying influence of household debt on inequality in United Kingdom," Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
  28. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics.
  29. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
  30. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  31. Paravee Maneejuk & Woraphon Yamaka, 2021. "The Role of Economic Contagion in the Inward Investment of Emerging Economies: The Dynamic Conditional Copula Approach," Mathematics, MDPI, vol. 9(20), pages 1-23, October.
  32. Desiree M. Kunene & Renee van Eyden & Petre Caraiani & Rangan Gupta, 2023. "The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020," Working Papers 202321, University of Pretoria, Department of Economics.
  33. Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
  34. Valérie Mignon & António Afonso & Jamel Saadaoui, 2023. "On the time-varying impact of China's bilateral political relations on its trading partners (1960-2022)," EconomiX Working Papers 2023-33, University of Paris Nanterre, EconomiX.
  35. Raffaella Giacomini & Barbara Rossi, 2016. "Model Comparisons In Unstable Environments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 369-392, May.
  36. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  37. Rossi, Barbara, 2006. "Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability," Macroeconomic Dynamics, Cambridge University Press, vol. 10(1), pages 20-38, February.
  38. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  39. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
  40. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2009. "Predicting Agri-Commodity Prices: an Asset Pricing Approach," Working Papers UWEC-2010-02, University of Washington, Department of Economics.
  41. Yonglian Wang & Lijun Wang & Han Liu & Yongjing Wang, 2021. "The Robust Causal Relationships Among Domestic Tourism Demand, Carbon Emissions, and Economic Growth in China," SAGE Open, , vol. 11(4), pages 21582440211, October.
  42. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," Discussion Paper Series In Economics And Econometrics 0916, Economics Division, School of Social Sciences, University of Southampton.
  43. Shiu‐Sheng Chen, 2016. "Commodity prices and related equity prices," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(3), pages 949-967, August.
  44. Barbara Rossi & Yiru Wang, 2019. "Vector autoregressive-based Granger causality test in the presence of instabilities," Stata Journal, StataCorp LP, vol. 19(4), pages 883-899, December.
  45. Mehmet Balcilar & Gizem Uzuner & Festus Victor Bekun & Mark E. Wohar, 2023. "Housing price uncertainty and housing prices in the UK in a time-varying environment," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(2), pages 523-549, May.
  46. Barbara Rossi & Yiru Wang, 2019. "VAR-Based Granger-Causality Test in the Presence of Instabilities," Working Papers 1083, Barcelona School of Economics.
  47. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.
  48. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
  49. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2012. "Does Central Bank Staff Beat Private Forecasters?," IWH Discussion Papers 5/2012, Halle Institute for Economic Research (IWH).
  50. Gulcin Kendirkiran & Furkan Emirmahmutoglu, 2022. "Does Change over Time the Causal Relationship between Economic Growth and Foreign Trade in Turkey?," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(36), pages 43-62, June.
  51. Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  52. Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
  53. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
  54. Ghassen El Montasser & Kenza Aggad & Louise Clark & Rangan Gupta & Shannon Kemp, 2014. "Causal Link between Oil Price and Uncertainty in India," Working Papers 201467, University of Pretoria, Department of Economics.
  55. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
  56. Anderson, Richard G. & Binner, Jane M. & Schmidt, Vincent A., 2012. "Connectionist-based rules describing the pass-through of individual goods prices into trend inflation in the United States," Economics Letters, Elsevier, vol. 117(1), pages 174-177.
  57. Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, vol. 2(1), pages 1-20, March.
  58. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  59. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.
  60. Nikolay Arefiev, 2014. "A Theory Of Data-Oriented Identification With A Svar Application," HSE Working papers WP BRP 79/EC/2014, National Research University Higher School of Economics.
  61. Cepni, Oguzhan & Emirmahmutoglu, Furkan & Guney, Ibrahim Ethem & Yilmaz, Muhammed Hasan, 2023. "Do the carry trades respond to geopolitical risks? Evidence from BRICS countries," Economic Systems, Elsevier, vol. 47(2).
  62. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
  63. Çiğdem Yılmaz Özsoy, 2023. "Investigating the Relationship Between Financial Development and Income Inequality in Developed and Developing Countries: An Application of Canonical Correlation Analysis," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 35-52, June.
  64. Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020. "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers 202002, University of Pretoria, Department of Economics.
  65. Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82(5), pages 1799-1851, September.
  66. Bumpass, Donald & Douglas, Christopher & Ginn, Vance & Tuttle, M.H., 2019. "Testing for short and long-run asymmetric responses and structural breaks in the retail gasoline supply chain," Energy Economics, Elsevier, vol. 83(C), pages 311-318.
  67. Pham, Linh & Cepni, Oguzhan, 2022. "Extreme directional spillovers between investor attention and green bond markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 186-210.
  68. Liang Xie & Xianzhong Mu & Kuanyuting Lu & Dongou Hu & Guangwen Hu, 2023. "The time-varying relationship between CO2 emissions, heterogeneous energy consumption, and economic growth in China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(8), pages 7769-7793, August.
  69. Yonglian Wang & Lijun Wang & Changchun Pan, 2022. "Tourism–Growth Nexus in the Presence of Instability," Sustainability, MDPI, vol. 14(4), pages 1-11, February.
  70. Raffaella Giacomini & Barbara Rossi, 2012. "Model comparisons in unstable environments," CeMMAP working papers 13/12, Institute for Fiscal Studies.
  71. 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.
  72. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  73. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Carbon emissions - income relationships with structural breaks: the case of the Middle East and North African countries," Working Papers 2014-296, Department of Research, Ipag Business School.
  74. Debasish Roy & Ramaprasad Bhar, 2020. "Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 427-437, September.
  75. Duppati, Geeta & Younes, Ben Zaied & Tiwari, Aviral Kumar & Hunjra, Ahmed Imran, 2023. "Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak," Resources Policy, Elsevier, vol. 81(C).
  76. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
  77. Ismailov, Adilzhan & Rossi, Barbara, 2018. "Uncertainty and deviations from uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 242-259.
  78. Bork, Lasse & Kaltwasser, Pablo Rovira & Sercu, Piet, 2022. "Aggregation bias in tests of the commodity currency hypothesis," Journal of Banking & Finance, Elsevier, vol. 135(C).
  79. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  80. Richard A. Ashley & Christopher F. Parmeter, 2013. "Sensitivity Analysis of Inference in GMM Estimation With Possibly-Flawed Moment Conditions," Working Papers e07-40, Virginia Polytechnic Institute and State University, Department of Economics.
  81. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
  82. Woraphon Yamaka & Paravee Maneejuk, 2022. "Does the US Contagion Risk Affect Foreign Direct Investment Inflows in Emerging Economies?," PIER Discussion Papers 192, Puey Ungphakorn Institute for Economic Research.
  83. Pedro Carneiro & Tewolde Ghebremeskel & Joseph Keating & Andrea Locatelli, 2012. "Do public health interventions crowd out private health investments? Malaria control policies in Eritrea," CeMMAP working papers 12/12, Institute for Fiscal Studies.
  84. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-71, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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