IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Averaging forecasts from VARs with uncertain instabilities"

by Todd E. Clark & Michael W. McCracken

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series 19_07, The Rimini Centre for Economic Analysis.
  3. Bjørnland, Hilde C. & Gerdrup, Karsten & Jore, Anne Sofie & Smith, Christie & Thorsrud, Leif Anders, 2011. "Weights and pools for a Norwegian density combination," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 61-76, January.
  4. 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.
  5. Filippo di Mauro & Filippo di Mauro, Fabio Fornari, 2014. "Going granular: The importance of firm-level equity information in anticipating economic activity," EcoMod2014 6809, EcoMod.
  6. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
  7. Elliott, Graham & Timmermann, Allan G, 2016. "Forecasting in Economics and Finance," CEPR Discussion Papers 11354, C.E.P.R. Discussion Papers.
  8. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  9. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
  10. Jos Jansen & Xiaowen Jin & Jasper de Winter, 2012. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," DNB Working Papers 365, Netherlands Central Bank, Research Department.
  11. Hilde C. Bjørnland & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud & Christie Smith, 2010. "Does forecast combination improve Norges Bank inflation forecasts?," Working Papers 0002, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  12. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  13. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
  14. repec:bof:bofitp:urn:nbn:fi:bof-201504131155 is not listed on IDEAS
  15. Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
  16. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
  17. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05r, Department of Economics, University of Birmingham.
  18. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-time inflation forecasting in a changing world," Staff Reports 388, Federal Reserve Bank of New York.
  19. Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
  20. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
  21. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
  22. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance 0910, Birkbeck, Department of Economics, Mathematics & Statistics.
  23. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  24. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  25. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
  26. 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.
  27. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
  28. Steffen Henzel & Johannes Mayr, 2009. "The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study," Ifo Working Paper Series Ifo Working Paper No. 65, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  29. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  30. Schumacher, Christian, 2010. "Factor forecasting using international targeted predictors: The case of German GDP," Economics Letters, Elsevier, vol. 107(2), pages 95-98, May.
  31. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, Elsevier.
  32. Chanont Banternghansa & Michael W. McCracken, 2011. "Real-time forecast averaging with ALFRED," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 49-66.
  33. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  34. M. Hashem Pesaran & Andreas Pick, 2009. "Forecasting Random Walks under Drift Instability," DNB Working Papers 207, Netherlands Central Bank, Research Department.
  35. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Paper 1134, Federal Reserve Bank of Cleveland.
  36. Charles Rahal, 2015. "House Price Forecasts with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
  37. 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.
  38. Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
  39. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," CORE Discussion Papers 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  40. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  41. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers 0047, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  42. Graefe, Andreas & Küchenhoff, Helmut & Stierle, Veronika & Riedl, Bernhard, 2015. "Limitations of Ensemble Bayesian Model Averaging for forecasting social science problems," International Journal of Forecasting, Elsevier, vol. 31(3), pages 943-951.
  43. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2009. "Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53052, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  44. Carlo Altavilla & Matteo Ciccarelli, 2011. "Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset," CESifo Working Paper Series 3372, CESifo Group Munich.
  45. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  46. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
  47. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
  48. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
  49. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
  50. Pierre Gosselin & Aileen Lotz & Charles Wyplosz, 2008. "The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 145-185, September.
  51. Constantin Bürgi & Tara M. Sinclair, 2015. "A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average," Working Papers 2015-006, The George Washington University, Department of Economics, Research Program on Forecasting.
  52. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
  53. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
  54. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series 1366, European Central Bank.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.