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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. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
  2. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  3. Carlos Medel, 2016. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," Working Papers Central Bank of Chile 785, Central Bank of Chile.
  4. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
  10. Serhat Solmaz & Marzie Taheri Sanjani, 2015. "How External Factors Affect Domestic Economy; Nowcasting an Emerging Market," IMF Working Papers 15/269, International Monetary Fund.
  11. Mario Porqueddu & Fabrizio Venditti, 2012. "Do food commodity prices have asymmetric effects on Euro-Area inflation?," Temi di discussione (Economic working papers) 878, Bank of Italy, Economic Research and International Relations Area.
  12. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
  13. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2014. "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers 9815, C.E.P.R. Discussion Papers.
  14. Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers 436, Banque de France.
  15. Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
  16. 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.).
  17. Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
  18. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, Elsevier.
  19. 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.
  20. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," CEPR Discussion Papers 7008, C.E.P.R. Discussion Papers.
  21. 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.
  22. 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.
  23. Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
  24. 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.
  25. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy.
  26. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
  27. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
  28. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010. "Interest rate pass-through in the major European economies - the role of expectations," Discussion Papers 10-07, Department of Economics, University of Birmingham.
  29. Wright, Jonathan H., 2008. "Bayesian Model Averaging and exchange rate forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 329-341, October.
  30. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-Time Inflation Forecasting in a Changing World," Working Paper 2009/16, Norges Bank.
  31. João Valle e Azevedo & Ana Pereira, 2013. "Macroeconomic Forecasting Using Low-Frequency Filters," Working Papers w201301, Banco de Portugal, Economics and Research Department.
  32. 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.
  33. Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
  34. 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.
  35. 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.
  36. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," BORRADORES DE ECONOMIA 005273, BANCO DE LA REPÚBLICA.
  37. 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.
  38. Nicoletti, Giulio & Passaro, Raffaele, 2012. "Sometimes it helps: the evolving predictive power of spreads on GDP dynamics," Working Paper Series 1447, European Central Bank.
  39. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  40. Lutz Kilian & Robert J. Vigfusson, 2012. "Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries," International Finance Discussion Papers 1050, Board of Governors of the Federal Reserve System (U.S.).
  41. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
  42. Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper Series 11_12, The Rimini Centre for Economic Analysis.
  43. Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
  44. 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.).
  45. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  46. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute.
  47. 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.
  48. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 21(2), pages 201-218.
  49. O. De Bandt & E. Michaux & C. Bruneau & A. Flageollet, 2007. "Forecasting inflation using economic indicators: the case of France," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(1), pages 1-22.
  50. 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.
  51. Favero, Carlo A. & Marcellino, Massimiliano, 2005. "Modelling and Forecasting Fiscal Variables for the euro Area," CEPR Discussion Papers 5294, C.E.P.R. Discussion Papers.
  52. 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.
  53. 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.
  54. 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.
  55. Christophe Piette, 2016. "Predicting Belgium’s GDP using targeted bridge models," Working Paper Research 290, National Bank of Belgium.
  56. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
  57. 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.
  58. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Economics Series Working Papers 212, University of Oxford, Department of Economics.
  59. Sandra Hanslin & Rolf Scheufele, 2016. "Foreign PMIs: A reliable indicator for exports?," Working Papers 2016-01, Swiss National Bank.
  60. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
  61. 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.
  62. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2013. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers 9313, C.E.P.R. Discussion Papers.
  63. 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.
  64. Klaus Wohlrabe, 2009. "Makroökonomische Prognosen mit gemischten Frequenzen," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.
  65. Barhoumi, K. & Darné, O. & Ferrara, L., 2009. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Working papers 232, Banque de France.
  66. Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
  67. 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.
  68. Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
  69. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, Elsevier.
  70. Pierre Guérin & Massimiliano Marcellino, 2013. "Markov-Switching MIDAS Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 45-56, January.
  71. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 31(72), pages 74-82, December.
  72. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
  73. 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.
  74. 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.
  75. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies.
  76. 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).
  77. Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.
  78. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010. "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers 7677, C.E.P.R. Discussion Papers.
  79. 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.
  80. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
  81. 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.
  82. Giuseppe Ferrero & Andrea Nobili & Patrizia Passiglia, 2011. "Assessing excess liquidity in the euro area: the role of sectoral distribution of money," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3213-3230.
  83. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Paper 1227, Federal Reserve Bank of Cleveland.
  84. Konstantin A. Kholodilin & Boriss Siliverstovs, 2014. "Business Confidence and Forecasting of Housing Prices and Rents in Large German Cities," Discussion Papers of DIW Berlin 1360, DIW Berlin, German Institute for Economic Research.
  85. 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.
  86. 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.
  87. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  88. 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.
  89. 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.
  90. 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.
  91. 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.
  92. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
  93. Michal Franta, 2016. "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers 2016/05, Czech National Bank, Research Department.
  94. Marcellino, Massimiliano & Schumacher, Christian, 2007. "Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP," Discussion Paper Series 1: Economic Studies 2007,34, Deutsche Bundesbank, Research Centre.
  95. 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;German Statistical Society, vol. 95(2), pages 147-168, June.
  96. Nicholas Taylor, 2014. "Economic forecast quality: information timeliness and data vintage effects," Empirical Economics, Springer, vol. 46(1), pages 145-174, February.
  97. Michael P. Clements, 2014. "Real-Time Factor Model Forecasting and the Effects of Instability," ICMA Centre Discussion Papers in Finance icma-dp2014-05, Henley Business School, Reading University.
  98. Huang, Y-F., 2012. "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper 41933, University Library of Munich, Germany.
  99. 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.
  100. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(1), pages 99-122, January.
  101. 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 - Leibniz Institute for Economic Research at the University of Munich.
  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. Jose Luis Nolazco & Pablo Pincheira & Jorge Selaive, 2016. "The evasive predictive ability of core inflation," Working Papers 15/34, BBVA Bank, Economic Research Department.
  104. 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.
  105. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  106. Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016. "Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  107. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," BORRADORES DE ECONOMIA 004246, BANCO DE LA REPÚBLICA.
  108. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
  109. 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.
  110. 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.
  111. 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.
  112. Kosei Fukuda, 2010. "Three new empirical perspectives on the Hodrick–Prescott parameter," Empirical Economics, Springer, vol. 39(3), pages 713-731, December.
  113. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
  114. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.
  115. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  116. Edith Skriner, 2008. "Forecasting Global Flows," FIW Working Paper series 009, FIW.
  117. Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The Univeristy of Manchester.
  118. 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.
  119. 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.
  120. 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.
  121. Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 0589, European Central Bank.
  122. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  123. 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.
  124. 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.
  125. 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.
  126. 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.
  127. 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.
  128. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers 2011-28, Department of Economics and Business Economics, Aarhus University.
  129. Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis, 2016. "Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 369-382.
  130. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05r, Department of Economics, University of Birmingham.
  131. 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.
  132. João Valle e Azevedo & Inês Gonçalves, 2015. "Macroeconomic Forecasting Starting from Survey Nowcasts," Working Papers w201502, Banco de Portugal, Economics and Research Department.
  133. 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.
  134. 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.
  135. 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.
  136. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
  137. 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].
  138. 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.
  139. 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.
  140. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
  141. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
  142. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
  143. 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.
  144. 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.
  145. Henri Nyberg & Markku Lanne & Erkka Saarinen, 2012. "Does noncausality help in forecasting economic time series?," Economics Bulletin, AccessEcon, vol. 32(4), pages 2849-2859.
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  148. Dirk Ulbricht, 2016. "It is not structural breaks that earn average forecasts their fame," Economics Bulletin, AccessEcon, vol. 36(2), pages 1250-1259.
  149. 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.
  150. 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.
  151. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
  152. 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.
  153. Daniel Kaufmann & Rolf Scheufele, 2015. "Business Tendency Surveys and Macroeconomic Fluctuations," KOF Working papers 15-378, KOF Swiss Economic Institute, ETH Zurich.
  154. Boriss Siliverstovs, 2015. "Short-term forecasting with mixed-frequency data: A MIDASSO approach," KOF Working papers 15-375, KOF Swiss Economic Institute, ETH Zurich.
  155. 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.
  156. 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.
  157. 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.).
  158. Grothe, Magdalena & Meyler, Aidan, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
  159. 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.
  160. 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.
  161. 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.
  162. 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.
  163. 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.
  164. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
  165. 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.
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  167. 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.
  168. 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.
  169. 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.
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  171. Charles Rahal, 2015. "House Price Forecasts with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
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  180. 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.
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  184. 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.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.