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Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics

Citations

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Cited by:

  1. Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
  2. Tobias Fissler & Yannick Hoga, 2024. "How to Compare Copula Forecasts?," Papers 2410.04165, arXiv.org.
  3. Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, "undated". "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
  4. Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023. "Testing the predictive accuracy of COVID-19 forecasts," International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
  5. Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
  6. Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
  7. Christian Glocker & Serguei Kaniovski, 2022. "Macroeconometric forecasting using a cluster of dynamic factor models," Empirical Economics, Springer, vol. 63(1), pages 43-91, July.
  8. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
  9. d'Aspremont, Alexandre & Ben Arous, Simon & Bricongne, Jean-Charles & Lietti, Benjamin & Meunier, Baptiste, 2025. "Satellites turn “concrete”: Tracking cement with satellite data and neural networks," Journal of Econometrics, Elsevier, vol. 249(PC).
  10. Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018. "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 1-46, April.
  11. Julien Andre & Marie Bessec, 2024. "A Mixed-Frequency Factor Model for Nowcasting French GDP," Working papers 975, Banque de France.
  12. Katleho Makatjane & Tshepiso Tsoku, 2022. "Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods," IJFS, MDPI, vol. 10(1), pages 1-23, January.
  13. Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2024. "Predictive ability tests with possibly overlapping models," Journal of Econometrics, Elsevier, vol. 241(1).
  14. Jack Fosten & Daniel Gutknecht, 2021. "Horizon confidence sets," Empirical Economics, Springer, vol. 61(2), pages 667-692, August.
  15. Minchul Shin & Nathan Schor, 2026. "ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics," Papers 2603.07458, arXiv.org.
  16. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2026. "Comparing predictive ability in the presence of instability over a very short time," The Econometrics Journal, Royal Economic Society, vol. 29(1), pages 143-166.
  17. Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Papers 2501.16069, arXiv.org, revised Jan 2025.
  18. Alberto Caruso & Laura Coroneo, 2019. "Predicting interest rates in real-time," Discussion Papers 19/18, Department of Economics, University of York.
  19. Li, Haiqi & Zhang, Ni & Zhou, Jin, 2025. "A new self-normalized forecast comparison test," Economics Letters, Elsevier, vol. 256(C).
  20. Coroneo, Laura, 2026. "Forecasting for monetary policy," International Journal of Forecasting, Elsevier, vol. 42(1), pages 22-33.
  21. Tobias Fissler & Yannick Hoga, 2021. "Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability," Papers 2104.10673, arXiv.org, revised Feb 2022.
  22. Jasiński, Tomasz, 2020. "Use of new variables based on air temperature for forecasting day-ahead spot electricity prices using deep neural networks: A new approach," Energy, Elsevier, vol. 213(C).
  23. Coroneo, Laura & Iacone, Fabrizio, 2025. "Testing for equal predictive accuracy with strong dependence," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1073-1092.
  24. Philipp Wegmueller & Christian Glocker, 2024. "Capturing Swiss economic confidence," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-17, December.
  25. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
  26. Coroneo, Laura & Iacone, Fabrizio & Profumo, Fabio, 2024. "Survey density forecast comparison in small samples," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1486-1504.
  27. Goliński, Adam & Madeira, João & Rambaccussing, Dooruj, 2025. "Return predictability, dividend growth, and the persistence of the price–dividend ratio," International Journal of Forecasting, Elsevier, vol. 41(1), pages 92-110.
  28. Wegmüller, Philipp & Glocker, Christian & Guggia, Valentino, 2023. "Weekly economic activity: Measurement and informational content," International Journal of Forecasting, Elsevier, vol. 39(1), pages 228-243.
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