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Citations for "Evidence on structural instability in macroeconomic times series relations"

by James H. Stock & Mark W. Watson

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  1. Khiabani, Nasser, 2010. "How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran," MPRA Paper 34041, University Library of Munich, Germany, revised 01 Mar 2011.
  2. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  3. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
  4. Branch, William A. & Evans, George W., 2006. "A simple recursive forecasting model," Economics Letters, Elsevier, vol. 91(2), pages 158-166, May.
  5. Jim Malley & Ulrich Woitek, 2009. "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series 2626, CESifo Group Munich.
  6. William T. Gavin & David M. Kemme, 2007. "Using extraneous information to analyze monetary policy in transition economies," Working Papers 2004-034, Federal Reserve Bank of St. Louis.
  7. Fabio Canova & Luca Gambetti, 2004. "On the Time Variations of US Monetary Policy: Who is right?," Money Macro and Finance (MMF) Research Group Conference 2004 96, Money Macro and Finance Research Group.
  8. M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The Univeristy of Manchester.
  9. Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2009. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," American Economic Review, American Economic Association, vol. 99(1), pages 350-84, March.
  10. Adom, Philip Kofi, 2015. "Asymmetric impacts of the determinants of energy intensity in Nigeria," Energy Economics, Elsevier, vol. 49(C), pages 570-580.
  11. Gambetti, Luca & D’Agostino, Antonello & Giannone, Domenico, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
  12. 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.
  13. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute for the Study of Labor (IZA).
  14. repec:cty:dpaper:12/02 is not listed on IDEAS
  15. Ricardo Mestre & Peter McAdam, 2011. "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 303-324, April.
  16. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  17. Aksoy Yunus & Leon-Ledesma Miguel A., 2008. "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-44, February.
  18. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Housing and the Great Depression," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2966-2981, August.
  19. Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, 09.
  20. Psaradakis, Zacharias & Ravn, Morten O & Sola, Martin, 2003. "Markov Switching Causality and the Money-Output Relationship," CEPR Discussion Papers 3803, C.E.P.R. Discussion Papers.
  21. Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  22. Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile.
  23. Serena Ng & Timothy J. Vogelsang, 1997. "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," Boston College Working Papers in Economics 379, Boston College Department of Economics.
  24. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  25. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York.
  26. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
  27. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  28. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  29. Gary Koop & Dimitris Korompilis, 2009. "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," Working Papers 0917, University of Strathclyde Business School, Department of Economics.
  30. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
  31. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  32. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
  33. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
  34. Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  35. Christian Hellwig, 2005. "Knowing What Others Know: Coordination Motives in Information Acquisition (March 2007, with Laura Veldkamp)," UCLA Economics Online Papers 369, UCLA Department of Economics.
  36. Lyubomir Ivanov, 2005. "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 3(1), pages 79-96.
  37. Eo, Yunjong, 2012. "Bayesian Inference about the Types of Structural Breaks When There are Many Breaks," Working Papers 2012-05, University of Sydney, School of Economics.
  38. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," The School of Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  39. Alan Kirman, 2010. "The Economic Crisis is a Crisis for Economic Theory ," CESifo Economic Studies, CESifo, vol. 56(4), pages 498-535, December.
  40. Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
  41. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  42. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
  43. Kevin J. Lansing, 2006. "Time-varying U.S. inflation dynamics and the New-Keynesian Phillips curve," Working Paper Series 2006-15, Federal Reserve Bank of San Francisco.
  44. Evzen Kocenda, 2001. "Detecting Structural Breaks: Exchange Rates in Transition Economies," Development and Comp Systems 0012009, EconWPA.
  45. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
  46. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
  47. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
  48. Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CEPR Discussion Papers 4830, C.E.P.R. Discussion Papers.
  49. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
  50. 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.
  51. Pesaran, M.H. & Timmermann, A., 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," Cambridge Working Papers in Economics 0331, Faculty of Economics, University of Cambridge.
  52. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  53. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
  54. Antonello D'Agostino & Paolo Surico, 2012. "A Century of Inflation Forecasts," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1097-1106, November.
  55. 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.
  56. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  57. Canova, Fabio, 2002. "G-7 Inflation forecasts," Working Paper Series 0151, European Central Bank.
  58. Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.
  59. Serwa, Dobromil, 2010. "Larger crises cost more: Impact of banking sector instability on output growth," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1463-1481, December.
  60. Jean-Yves Pitarakis, 2003. "Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification," Econometrics 0312004, EconWPA.
  61. Michele Berardi & Jaqueson K. Galimberti, 2012. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Centre for Growth and Business Cycle Research Discussion Paper Series 170, Economics, The Univeristy of Manchester.
  62. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  63. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  64. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
  65. Pablo M. Pincheira & Carlos A. Medel, 2015. "Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 2-29, January.
  66. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
  67. Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
  68. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
  69. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance 0503006, EconWPA.
  70. 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.
  71. Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010. "Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey," Economic Modelling, Elsevier, vol. 27(5), pages 1103-1115, September.
  72. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
  73. Bozani, Vasiliki & Drydakis, Nick, 2011. "Studying the NAIRU and its Implications," IZA Discussion Papers 6079, Institute for the Study of Labor (IZA).
  74. Cléaud, G. & Lemoine, M. & Pionnier, P.-A., 2013. "Which size and evolution of the government expenditure multiplier in France (1980-2010)?," Working papers 469, Banque de France.
  75. Achim Zeileis & Torsten Hothorn, 2013. "A toolbox of permutation tests for structural change," Statistical Papers, Springer, vol. 54(4), pages 931-954, November.
  76. Luca Benati & Thomas A. Lubik, 2013. "The time-varying Beveridge curve," Working Paper 13-12, Federal Reserve Bank of Richmond.
  77. Hammad A. Siddiqi, 2006. "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers 22279, East Asian Bureau of Economic Research.
  78. Allan Timmermann & M. Hashem Pesaran, 2002. "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers dp412, Financial Markets Group.
  79. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  80. Giordani, Paolo & Villani, Mattias, 2009. "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series 234, Sveriges Riksbank (Central Bank of Sweden).
  81. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers 12694, Iowa State University, Department of Economics.
  82. Massimiliano Marcellino, . "Instability and non-linearity in the EMU," Working Papers 211, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  83. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  84. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, Structural Instability and Present Value Calculations," CESifo Working Paper Series 1650, CESifo Group Munich.
  85. Donald S. Allen & Meenakshi Pasupathy, 1997. "A state space forecasting model with fiscal and monetary control," Working Papers 1997-017, Federal Reserve Bank of St. Louis.
  86. Stanislav Radchenko, 2004. "Lags in the response of gasoline prices to changes in crude oil," Econometrics 0406001, EconWPA.
  87. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
  88. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
  89. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2009. "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," Working Papers 0910, Brock University, Department of Economics, revised Oct 2010.
  90. Gutierrez, Luciano & Piras, Francesco, 2014. "A global VAR model for the analysis of wheat export prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182723, European Association of Agricultural Economists.
  91. Dées, Stéphane & Holly, Sean & Pesaran, Hashem & Smith, Vanessa, 2007. "Long run macroeconomic relations in the global economy," Working Paper Series 0750, European Central Bank.
  92. Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change," CAMA Working Papers 2012-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  93. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
  94. Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," FRB Atlanta Working Paper No. 2005-27, Federal Reserve Bank of Atlanta.
  95. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  96. Jooste, Charl & Liu, Guangling (Dave) & Naraidoo, Ruthira, 2013. "Analysing the effects of fiscal policy shocks in the South African economy," Economic Modelling, Elsevier, vol. 32(C), pages 215-224.
  97. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester.
  98. Leon Berkelmans, 2005. "Credit and Monetary Policy: An Australian SVAR," RBA Research Discussion Papers rdp2005-06, Reserve Bank of Australia.
  99. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  100. 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.
  101. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
  102. 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.
  103. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
  104. D van Dijk & D R Osborn & M Sensier, 2002. "Changes in Variability of the Business Cycle in the G7 Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 16, Economics, The Univeristy of Manchester.
  105. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty And Physical Investment Decisions," Money Macro and Finance (MMF) Research Group Conference 2004 89, Money Macro and Finance Research Group.
  106. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
  107. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  108. Benati, Luca, 2007. "Drift and breaks in labor productivity," Working Paper Series 0718, European Central Bank.
  109. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
  110. Yunjong Eo & James Morley, 2013. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," Discussion Papers 2013-12, School of Economics, The University of New South Wales.
  111. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
  112. Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers 0004, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  113. Boivin, Jean, 2006. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1149-1173, August.
  114. Taipalus , Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  115. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  116. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  117. Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
  118. Iqbal, Javed, 2001. "Forecasting methods: a comparative analysis," MPRA Paper 23856, University Library of Munich, Germany, revised 2001.
  119. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 10/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  120. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
  121. Massimiliano Marcellino, . "Forecast pooling for short time series of macroeconomic variables," Working Papers 212, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  122. 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.
  123. Roberto Golinelli & Giuseppe Parigi, 2013. "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers) 920, Bank of Italy, Economic Research and International Relations Area.
  124. Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
  125. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper 9684, University Library of Munich, Germany.
  126. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Unit root testing under a local break in trend," Discussion Papers 11/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  127. 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.
  128. 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.
  129. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  130. Ramzi Issa & Robert Lafrance & John Murray, 2006. "The Turning Black Tide: Energy Prices and the Canadian Dollar," Working Papers 06-29, Bank of Canada.
  131. Jean Boivin & Marc Giannoni, 2002. "Assessing changes in the monetary transmission mechanism: a VAR approach," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 97-111.
  132. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," Ifo Working Paper Series Ifo Working Paper No. 48, Ifo Institute for Economic Research at the University of Munich.
  133. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  134. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
  135. Ghosal, Vivek, 2007. "Regime Shift in Antitrust," MPRA Paper 5460, University Library of Munich, Germany.
  136. Emanuela Ciapanna & Marco Taboga, 2011. "Bayesian analysis of coefficient instability in dynamic regressions," Temi di discussione (Economic working papers) 836, Bank of Italy, Economic Research and International Relations Area.
  137. Franz Ruch & Mehmet Balcilar & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 201543, University of Pretoria, Department of Economics.
  138. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  139. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
  140. Vincenzo Cassino & Michael Joyce, 2003. "Forecasting inflation using labour market indicators," Bank of England working papers 195, Bank of England.
  141. repec:cbo:wpaper:41195 is not listed on IDEAS
  142. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA.
  143. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  144. Christian Hellwig & Laura Veldkamp, 2006. "Knowing what others Know: Coordination motives in information acquisition," 2006 Meeting Papers 361, Society for Economic Dynamics.
  145. Aastveit, Knut Are & Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2014. "Have Standard VARs Remained Stable since the Crisis?," Working Paper 1411, Federal Reserve Bank of Cleveland.
  146. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
  147. Bakhodir A Ergashev, 2004. "Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures," Econometrics 0402001, EconWPA, revised 16 Mar 2004.
  148. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  149. Tae-Hwy Lee & Weiping Yang, 2014. "Money-Income Granger-Causality in Quantiles," Working Papers 201423, University of California at Riverside, Department of Economics, revised Sep 2012.
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