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Citations for "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series"

by Massimiliano Marcellino & James Stock & Mark Watson

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  1. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
  2. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
  3. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
  4. Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.
  5. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Carlo A. Favero & Massimiliano Marcellino, 2005. "Modelling and Forecasting Fiscal Variables for the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 755-783, December.
  7. Cipollini, Andrea & Missaglia, Giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany.
  8. Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Centre de Recherche en Economie et Statistique.
  9. Serhat Solmaz & Marzie Taheri Sanjani, 2015. "How External Factors Affect Domestic Economy; Nowcasting an Emerging Market," IMF Working Papers 15/269, International Monetary Fund.
  10. Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
  11. Binner, Jane M. & Bissoondeeal, Rakesh K. & Elger, C. Thomas & Jones, Barry E. & Mullineux, Andrew W., 2009. "Admissible monetary aggregates for the euro area," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 99-114, February.
  12. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
  13. Gawon Yoon, 2010. "Nonlinearity in real exchange rates: an approach with disaggregated data and a new linearity test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1125-1132.
  14. Gary Koop & Markus Jochmann & Rodney W. Strachan, 2008. "Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks," Working Paper Series 19-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  15. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
  16. Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.
  17. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
  18. 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.
  19. Enders, Walter & Pascalau, Razvan, 2015. "Pretesting for multi-step-ahead exchange rate forecasts with STAR models," International Journal of Forecasting, Elsevier, vol. 31(2), pages 473-487.
  20. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  21. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2013. "Real-Time Inflation Forecasting in a Changing World," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 29-44, January.
  22. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
  23. Anindya Banerjee & Victor Bystrov & Paul Mizen, . "Interest rate Pass-Through in the Major European Economies - The Role of Expectations," Discussion Papers 10/03, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  24. Christopher G. Gibbs, 2015. "Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation," Discussion Papers 2015-09, School of Economics, The University of New South Wales.
  25. 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.
  26. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," BORRADORES DE ECONOMIA 004246, .
  27. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
  28. Kock, Anders Bredahl & Teräsvirta, Timo, 2014. "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, vol. 30(3), pages 616-631.
  29. Dovern, Jonas & Ziegler, Christina, 2008. "Predicting growth rates and recessions : assessing US leading indicators under real-time conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy (IfW).
  30. Euler Pereira G. de Mello & Francisco Marcos R. Figueiredo, 2014. "Assessing the Short-term Forecasting Power of Confidence Indices," Working Papers Series 371, Central Bank of Brazil, Research Department.
  31. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  32. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(72), pages 74-82, Diciembre.
  33. Götz, Thomas B. & Hecq, Alain & Urbain, Jean-Pierre, 2016. "Combining forecasts from successive data vintages: An application to U.S. growth," International Journal of Forecasting, Elsevier, vol. 32(1), pages 61-74.
  34. Guillaume Chevillon & David F. Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers 2004-W12, Economics Group, Nuffield College, University of Oxford.
  35. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  36. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  37. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
  38. Elena Andreou & Andros Kourtellos, 2015. "The State and the Future of Cyprus Macroeconomic Forecasting," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 9(1), pages 73-90, June.
  39. Edith Skriner, 2008. "Forecasting Global Flows," FIW Working Paper series 009, FIW.
  40. Luis Uzeda, 2016. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," ANU Working Papers in Economics and Econometrics 2016-632, Australian National University, College of Business and Economics, School of Economics.
  41. Daniel Kaufmann & Rolf Scheufele, 2015. "Business Tendency Surveys and Macroeconomic Fluctuations," KOF Working papers 15-378, KOF Swiss Economic Institute, ETH Zurich.
  42. Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper Series 51_10, The Rimini Centre for Economic Analysis, revised Apr 2011.
  43. Michiel De Pooter & Francesco Ravazzolo & Dick Van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers 993, Board of Governors of the Federal Reserve System (U.S.).
  44. A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers ECO2008/33, European University Institute.
  45. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
  46. Troy Matheson, 2006. "Phillips curve forecasting in a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2006/01, Reserve Bank of New Zealand.
  47. Jaqueson K. Galimberti & Marcelo L. Moura, 2014. "Improving the Reliability of Real-time Hodrick-Prescott Filtering Using Survey Forecasts," KOF Working papers 14-360, KOF Swiss Economic Institute, ETH Zurich.
  48. Bruneau, C. & De Bandt, O. & Flageollet, A. & Michaux, E., 2003. "Forecasting Inflation using Economic Indicators: the Case of France," Working papers 101, Banque de France.
  49. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
  50. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," BORRADORES DE ECONOMIA 010973, .
  51. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
  52. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
  53. Boriss Siliverstovs & Konstantin A. Kholodilin, 2015. "Think national, forecast local: A case study of 71 German urban housing markets," KOF Working papers 15-372, KOF Swiss Economic Institute, ETH Zurich.
  54. Patton, Andrew J & Timmermann, Allan G, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers 8194, C.E.P.R. Discussion Papers.
  55. Boriss Siliverstovs, 2011. "The Real-Time Predictive Content of the KOF Economic Barometer," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 353-375, September.
  56. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
  57. Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper Series 43_10, The Rimini Centre for Economic Analysis.
  58. Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers.
  59. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
  60. Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
  61. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers 7197, C.E.P.R. Discussion Papers.
  62. Klaus Wohlrabe, 2009. "Makroökonomische Prognosen mit gemischten Frequenzen," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.
  63. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010. "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers 7677, C.E.P.R. Discussion Papers.
  64. Protić, Milan & Shamshirband, Shahaboddin & Petković, Dalibor & Abbasi, Almas & Mat Kiah, Miss Laiha & Unar, Jawed Akhtar & Živković, Ljiljana & Raos, Miomir, 2015. "Forecasting of consumers heat load in district heating systems using the support vector machine with a discrete wavelet transform algorithm," Energy, Elsevier, vol. 87(C), pages 343-351.
  65. Gilchrist, Simon & Yankov, Vladimir & Zakrajsek, Egon, 2009. "Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 471-493, May.
  66. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  67. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542, April.
  68. Grothe, Magdalena & Meyler, Aidan, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," MPRA Paper 66982, University Library of Munich, Germany.
  69. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  70. Òscar Jordà & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Economics Working Papers ECO2008/34, European University Institute.
  71. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
  72. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  73. Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011. "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper 30254, University Library of Munich, Germany.
  74. Konstantin Kholodilin, 2014. "Business confidence and forecasting of housing prices and rents in large German cities," ERSA conference papers ersa14p9, European Regional Science Association.
  75. Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series 49-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  76. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 10 Mar 2016.
  77. Vermeulen, Philip, 2014. "An evaluation of business survey indices for short-term forecasting: Balance method versus Carlson–Parkin method," International Journal of Forecasting, Elsevier, vol. 30(4), pages 882-897.
  78. Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2016. "The Evasive Predictive Ability of Core Inflation," MPRA Paper 68704, University Library of Munich, Germany.
  79. 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 & Management Discussion Papers em-dp2014-03, Henley Business School, Reading University.
  80. Henri Nyberg & Markku Lanne & Erkka Saarinen, 2012. "Does noncausality help in forecasting economic time series?," Economics Bulletin, AccessEcon, vol. 32(4), pages 2849-2859.
  81. Lutz Kilian & Robert J. Vigfusson, 2013. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 78-93, January.
  82. 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.
  83. Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006. "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006 407, Society for Computational Economics.
  84. Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
  85. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies 2009,07, Deutsche Bundesbank, Research Centre.
  86. Turgut Kisinbay & Chikako Baba, 2011. "Predicting Recessions; A New Approach for Identifying Leading Indicators and Forecast Combinations," IMF Working Papers 11/235, International Monetary Fund.
  87. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  88. Christian Schumacher, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 28-49, February.
  89. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, Elsevier.
  90. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
  91. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE 2004-13, Observatoire Francais des Conjonctures Economiques (OFCE).
  92. Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2010. "Empirical simultaneous confidence regions for path-forecasts," Discussion Paper Series 1: Economic Studies 2010,06, Deutsche Bundesbank, Research Centre.
  93. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  94. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
  95. Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
  96. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05r, Department of Economics, University of Birmingham.
  97. Alex Nikolsko‐Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward‐Looking Taylor Rules without Forward‐Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, 08.
  98. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," BORRADORES DE ECONOMIA 004247, .
  99. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
  100. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2009. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Finance and Economics Discussion Series 2009-10, Board of Governors of the Federal Reserve System (U.S.).
  101. Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers 7139, C.E.P.R. Discussion Papers.
  102. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  103. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
  104. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015. "Markov-switching mixed-frequency VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
  105. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
  106. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
  107. Porqueddu Mario & Venditti Fabrizio, 2014. "Do food commodity prices have asymmetric effects on euro-area inflation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 25, September.
  108. Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper Series 11_12, The Rimini Centre for Economic Analysis.
  109. Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank, Research Centre.
  110. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
  111. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
  112. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
  113. João Valle e Azevedo & Inês Gonçalves, 2015. "Macroeconomic Forecasting Starting from Survey Nowcasts," Working Papers w201502, Banco de Portugal, Economics and Research Department.
  114. Eliana González & . Luis F. Melo & Viviana Monroy & Brayan Rojas, . "A Dynamic Factor Model for the Colombian Inflation," Borradores de Economia 549, Banco de la Republica de Colombia.
  115. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  116. Hutter, Christian & Weber, Enzo, 2013. "Constructing a new leading indicator for unemployment from a survey among German employment agencies," IAB Discussion Paper 201317, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  117. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
  118. Tom Stark, 2010. "Realistic evaluation of real-time forecasts in the Survey of Professional Forecasters," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
  119. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  120. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
  121. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
  122. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, Department of Economics and Business Economics, Aarhus University.
  123. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
  124. Luiz Renato Regis de Oliveira Lima & Wagner Piazza Gaglianone, 2012. "Constructing Optimal Density Forecasts from Point Forecast Combinations," Série Textos para Discussão (Working Papers) 5, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
  125. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
  126. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers 15-140/III, Tinbergen Institute.
  127. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers 1206, University of Guelph, Department of Economics and Finance.
  128. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.
  129. Gürkaynak, Refet S. & Kisacikoglu, Burçin & Rossi, Barbara, 2013. "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?," CEPR Discussion Papers 9576, C.E.P.R. Discussion Papers.
  130. Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
  131. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  132. Kosei Fukuda, 2010. "Three new empirical perspectives on the Hodrick–Prescott parameter," Empirical Economics, Springer, vol. 39(3), pages 713-731, December.
  133. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  134. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
  135. João Valle e Azevedo & Ana Pereira, 2013. "Macroeconomic Forecasting Using Low-Frequency Filters," Working Papers w201301, Banco de Portugal, Economics and Research Department.
  136. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
  137. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer, vol. 96(1), pages 99-122, January.
  138. 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.
  139. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, .
  140. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2014. "A multi-country approach to forecasting output growth using PMIs," Globalization and Monetary Policy Institute Working Paper 213, Federal Reserve Bank of Dallas.
  141. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies.
  142. Benjamin Beckers, 2015. "The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts," Discussion Papers of DIW Berlin 1496, DIW Berlin, German Institute for Economic Research.
  143. Guérin, Pierre & Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
  144. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
  145. Charles Rahal, 2015. "House Price Forecasts with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
  146. Valentina Aprigliano & Claudia Foroni & Massimiliano Marcellino & Gianluigi Mazzi & Fabrizio Venditti, 2016. "A daily indicator of economic growth for the euro area," Working Papers 570, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  147. Duarte, Claudia & Rua, Antonio, 2007. "Forecasting inflation through a bottom-up approach: How bottom is bottom?," Economic Modelling, Elsevier, vol. 24(6), pages 941-953, November.
  148. Boriss Siliverstovs, 2015. "Dissecting the Purchasing Managers’ Index: Are all relevant components included? Are all included components relevant?," KOF Working papers 15-376, KOF Swiss Economic Institute, ETH Zurich.
  149. Boriss Siliverstovs, 2015. "Short-term forecasting with mixed-frequency data: A MIDASSO approach," KOF Working papers 15-375, KOF Swiss Economic Institute, ETH Zurich.
  150. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers 6706, C.E.P.R. Discussion Papers.
  151. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
  152. Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2012. "U-MIDAS: MIDAS regressions with unrestricted lag polynomials," CEPR Discussion Papers 8828, C.E.P.R. Discussion Papers.
  153. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  154. repec:hal:journl:halshs-00423871 is not listed on IDEAS
  155. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.
  156. Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
  157. Beckers, Benjamin, 2015. "The real-time predictive content of asset price bubbles for macro forecasts," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112852, Verein für Socialpolitik / German Economic Association.
  158. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
  159. Hutter, Christian & Weber, Enzo, 2014. "Forecasting with a mismatch-enhanced labor market matching function," IAB Discussion Paper 201416, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  160. Helmut Herwartz, 2011. "Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 147-168, June.
  161. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  162. Jed Armstrong, 2015. "The Reserve Bank of New Zealand’s output gap indicator suite and its real-time properties," Reserve Bank of New Zealand Analytical Notes series AN2015/08, Reserve Bank of New Zealand.
  163. Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc.
  164. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth Centre Working Paper Series 0802, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  165. Darracq Pariès, Matthieu & Maurin, Laurent, 2008. "The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models," Working Paper Series 0894, European Central Bank.
  166. Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.
  167. McCracken, Michael W. & Ng, Serena, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis, revised 20 Aug 2015.
  168. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics.
  169. Klaus Abberger & Boriss Siliverstovs & Jan-Egbert Sturm & Michael Graff, 2014. "The KOF Economic Barometer, Version 2014: A Composite Leading Indicator for the Swiss Business Cycle," KOF Working papers 14-353, KOF Swiss Economic Institute, ETH Zurich.
  170. Kuosmanen, Petri & Vataja, Juuso, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, Elsevier, vol. 23(2), pages 90-97.
  171. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  172. Nicoletti, Giulio & Passaro, Raffaele, 2012. "Sometimes it helps: the evolving predictive power of spreads on GDP dynamics," Working Paper Series 1447, European Central Bank.
  173. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
  174. Hanslin Grossmann, Sandra & Scheufele, Rolf, 2015. "Foreign PMIs: A reliable indicator for Swiss exports," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112830, Verein für Socialpolitik / German Economic Association.
  175. Helmut Herwartz, 2011. "Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection," Empirical Economics, Springer, vol. 41(2), pages 487-510, October.
  176. Carriero, Andrea & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2015. "Macroeconomic information, structural change, and the prediction of fiscal aggregates," International Journal of Forecasting, Elsevier, vol. 31(2), pages 325-348.
  177. Christophe Piette, 2016. "Predicting Belgium’s GDP using targeted bridge models," Working Paper Research 290, National Bank of Belgium.
  178. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
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