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Forecasting Macroeconomic Variables Under Model Instability

Citations

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Cited by:

  1. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  2. Hillebrand, Eric & Lukas, Manuel & Wei, Wei, 2021. "Bagging weak predictors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 237-254.
  3. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
  4. Gary Koop & Dimitris Korobilis, 2019. "Forecasting with High‐Dimensional Panel VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
  5. Korobilis, Dimitris & Koop, Gary, 2018. "Variational Bayes inference in high-dimensional time-varying parameter models," Essex Finance Centre Working Papers 22665, University of Essex, Essex Business School.
  6. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
  7. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.
  8. Alessandra Canepa, & Karanasos, Menelaos & Paraskevopoulos, Athanasios & Chini, Emilio Zanetti, 2022. "Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202212, University of Turin.
  9. Gary Koop & Dimitris Korobilis, 2023. "Bayesian Dynamic Variable Selection In High Dimensions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
  10. Dimitris Korobilis, 2021. "High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 493-504, March.
  11. Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
  12. Zhou, Weilun & Gao, Jiti & Harris, David & Kew, Hsein, 2024. "Semi-parametric single-index predictive regression models with cointegrated regressors," Journal of Econometrics, Elsevier, vol. 238(1).
  13. Korobilis, Dimitris, 2018. "Machine Learning Macroeconometrics A Primer," Essex Finance Centre Working Papers 22666, University of Essex, Essex Business School.
  14. Petropoulos, Fotios & Spiliotis, Evangelos & Panagiotelis, Anastasios, 2023. "Model combinations through revised base rates," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1477-1492.
  15. Olena Rayevnyeva & Volodymyr Ponomarenko & Silvia Matusova & Kostyantyn Stryzhychenko & Stanislav Filip & Olha Brovko, 2024. "Models of the Impact of Socio-Economic Shocks on Higher Education Development," Administrative Sciences, MDPI, vol. 14(11), pages 1-28, October.
  16. Eraslan, Sercan & Schröder, Maximilian, 2019. "Nowcasting GDP with a large factor model space," Discussion Papers 41/2019, Deutsche Bundesbank.
  17. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic forecast accuracy in a data‐rich environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
  18. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
  19. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
  20. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
  21. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
  22. Korobilis, D, 2017. "Forecasting with many predictors using message passing algorithms," Essex Finance Centre Working Papers 19565, University of Essex, Essex Business School.
  23. Korobilis, Dimitris, 2019. "High-dimensional macroeconomic forecasting using message passing algorithms," MPRA Paper 96079, University Library of Munich, Germany.
  24. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
  25. Markus Heinrich & Magnus Reif, 2020. "Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters," CESifo Working Paper Series 8054, CESifo.
  26. Nguyen Duc Do, 2025. "Using a Wage–Price‐Setting Model to Forecast US Inflation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 803-832, March.
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