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Has modelsí forecasting performance for US output growth and inflation changed over time, and when?
Citations
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- Juan Carlos Pérez-Velasco Pavón, 2009. "Determinantes de la demanda por la denominación promedio de billete: el caso de México," Monetaria, CEMLA, vol. 0(4), pages 523-548, octubre-d.
- William A. Barnett & Sohee Park, 2023.
"Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 331-346, March.
- William A. Barnett & Sohee Park, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202120, University of Kansas, Department of Economics, revised Oct 2021.
- Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Granziera, Eleonora & Sekhposyan, Tatevik, 2019.
"Predicting relative forecasting performance: An empirical investigation,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
- Granziera, Eleonora & Sekhposyan, Tatevik, 2018. "Predicting relative forecasting performance: An empirical investigation," Bank of Finland Research Discussion Papers 23/2018, Bank of Finland.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2017.
"An adaptive approach to forecasting three key macroeconomic variables for transitional China,"
Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," SFB 649 Discussion Papers 2015-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Carlos Barros & Luis Gil-Alana, 2013.
"Inflation Forecasting in Angola: A Fractional Approach,"
African Development Review, African Development Bank, vol. 25(1), pages 91-104.
- Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
- Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013.
"Should Macroeconomic Forecasters Use Daily Financial Data and How?,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper series 42_10, Rimini Centre for Economic Analysis.
- Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
- Serena Ng & Jonathan H. Wright, 2013.
"Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
- Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- González-Rivera, Gloria & Sun, Yingying, 2017.
"Density forecast evaluation in unstable environments,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
- Rossi, Barbara & Sekhposyan, Tatevik, 2014.
"Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
- Barbara Rossi & Tatevik Sehkposyan, 2013. "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set," Working Papers 689, Barcelona School of Economics.
- Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers 1370, Department of Economics and Business, Universitat Pompeu Fabra.
- Sekkel, Rodrigo M., 2015.
"Balance sheets of financial intermediaries: Do they forecast economic activity?,"
International Journal of Forecasting, Elsevier, vol. 31(2), pages 263-275.
- Rodrigo Sekkel, 2014. "Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?," Staff Working Papers 14-40, Bank of Canada.
- Anna Florio, 2016.
"The central bank as shaper and observer of events: The case of the yield spread,"
Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 320-346, February.
- Anna Florio, 2016. "The central bank as shaper and observer of events: The case of the yield spread," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 320-346, February.
- Magdalena Grothe & Aidan Meyler, 2018.
"Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?,"
International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
- Grothe, Magdalena & Meyler, Aidan, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," MPRA Paper 66982, University Library of Munich, Germany.
- Meyler, Aidan & Grothe, Magdalena, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
- Rusnák, Marek, 2016.
"Nowcasting Czech GDP in real time,"
Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
- Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank.
- Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018.
"Forecasting US GNP growth: The role of uncertainty,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
- Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
- repec:hum:wpaper:sfb649dp2015-023 is not listed on IDEAS
- Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
- Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
- Kirdan Lees, 2009. "Overview of a recent Reserve Bank workshop: nowcasting with model combination," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 31-33, March.
- Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2017.
"The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(2), pages 109-121, March.
- Periklis Gogas & Theophilos Papadimitriou & Vasilios Plakandaras & Rangan Gupta, 2015. "The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach," Working Papers 201548, University of Pretoria, Department of Economics.
- Gogas, Periklis & Papadimitriou, Theophilos & Plakandaras, Vasilios & Gupta, Rangan, 2019. "The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach," DUTH Research Papers in Economics 3-2016, Democritus University of Thrace, Department of Economics.
- Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
- Hännikäinen, Jari, 2015.
"Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads,"
Review of Financial Economics, Elsevier, vol. 26(C), pages 47-54.
- Jari Hännikäinen, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Working Papers 1495, Tampere University, Faculty of Management and Business, Economics.
- Hännikäinen, Jari, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," MPRA Paper 56737, University Library of Munich, Germany.
- Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2015.
"Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
- Pierre Perron & Yohei Yamamoto, 2011. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series WP2011-053, Boston University - Department of Economics.
- Burgess, Matthew G. & Langendorf, Ryan E. & Ippolito, Tara & Pielke, Roger Jr, 2020. "Optimistically biased economic growth forecasts and negatively skewed annual variation," SocArXiv vndqr, Center for Open Science.
- Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, CEMLA, vol. 0(4), pages 491-522, octubre-d.
- 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.
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
- Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
- Strauss, Jack, 2013. "Does housing drive state-level job growth? Building permits and consumer expectations forecast a state’s economic activity," Journal of Urban Economics, Elsevier, vol. 73(1), pages 77-93.
- Carstensen Kai & Wohlrabe Klaus & Ziegler Christina, 2011.
"Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 82-106, February.
- Kai Carstensen & Klaus Wohlrabe & Christina Ziegler, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," CESifo Working Paper Series 3158, CESifo.
- Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
- Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics 11442, University of Munich, Department of Economics.
- Dur, Ayşe & Martínez García, Enrique, 2020.
"Mind the gap!—A monetarist view of the open-economy Phillips curve,"
Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
- Ayse Dur & Enrique Martínez García, 2020. "Mind the Gap!—A Monetarist View of the Open-Economy Phillips Curve," Globalization Institute Working Papers 392, Federal Reserve Bank of Dallas.
- Li, You & Tay, Anthony, 2021. "The role of macroeconomic and policy uncertainty in density forecast dispersion," Journal of Macroeconomics, Elsevier, vol. 67(C).
- Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
- Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014.
"Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
- Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019.
"Macroeconomic forecast accuracy in a data‐rich environment,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
- Barbara Rossi, 2011. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 25-29, August.
- Benjamin Beckers & Konstantin A. Kholodilin & Dirk Ulbricht, 2017. "Reading between the Lines: Using Media to Improve German Inflation Forecasts," Discussion Papers of DIW Berlin 1665, DIW Berlin, German Institute for Economic Research.
- Liebermann, Joelle, 2012.
"Real-time forecasting in a data-rich environment,"
MPRA Paper
39452, University Library of Munich, Germany.
- Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
- Manzan, Sebastiano & Zerom, Dawit, 2013.
"Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 469-478.
- Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
- Yousuf, Kashif & Ng, Serena, 2021.
"Boosting high dimensional predictive regressions with time varying parameters,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
- Kashif Yousuf & Serena Ng, 2019. "Boosting High Dimensional Predictive Regressions with Time Varying Parameters," Papers 1910.03109, arXiv.org.
- repec:zbw:bofitp:2015_012 is not listed on IDEAS
- Denis Shibitov & Mariam Mamedli, 2021. "Forecasting Russian Cpi With Data Vintages And Machine Learning Techniques," Bank of Russia Working Paper Series wps70, Bank of Russia.
- Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Joseph G. Haubrich, 2021.
"Does the Yield Curve Predict Output?,"
Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
- Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
- Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.
- Bel, Koen & Paap, Richard, 2016. "Modeling the impact of forecast-based regime switches on US inflation," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1306-1316.
- Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2017.
"An adaptive approach to forecasting three key macroeconomic variables for transitional China,"
Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
- Linlin Niu & Xiu Xu & Ying Chen, 2015. "An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China," SFB 649 Discussion Papers SFB649DP2015-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland, Institute for Economies in Transition.
- McKnight, Stephen & Mihailov, Alexander & Rumler, Fabio, 2020.
"Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend,"
Economic Modelling, Elsevier, vol. 87(C), pages 383-393.
- Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler, 2014. "The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States," Economics Discussion Papers em-dp2014-03, Department of Economics, University of Reading.
- Stephen McKnight & Alexander Mihailov & Fabio Rumler, 2018. "NKPC-Based Inflation Forecasts with a Time-Varying Trend," Serie documentos de trabajo del Centro de Estudios Económicos 2018-05, El Colegio de México, Centro de Estudios Económicos.
- Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
- Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
- Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, CEMLA, vol. 0(4), pages 451-489, octubre-d.
- Andrés Schneider, 2009. "Regímenes de flotación administrada: un enfoque de cartera," Monetaria, CEMLA, vol. 0(4), pages 549-584, octubre-d.
- Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
- Jari Hännikäinen, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 47-54, September.
- Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.
- repec:bof:bofitp:urn:nbn:fi:bof-201504131155 is not listed on IDEAS
- repec:zbw:bofitp:urn:nbn:fi:bof-201504131155 is not listed on IDEAS