Naive, ARIMA, nonparametric, transfer function and VAR models: A comparison of forecasting performance
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 3-46, National Bureau of Economic Research, Inc.
- Rogalski, Richard J & Vinso, Joseph D, 1977. "Stock Returns, Money Supply and the Direction of Causality," Journal of Finance, American Finance Association, vol. 32(4), pages 1017-1030, September.
- Charles Brown & Curtis Gilroy & Andrew Kohen, 1982. "The Effect of the Minimum Wage on Employment and Unemployment: A Survey," NBER Working Papers 0846, National Bureau of Economic Research, Inc.
- Clemen, Robert T. & Guerard, John Jr., 1989. "Econometric GNP forecasts: Incremental information relative to naive extrapolation," International Journal of Forecasting, Elsevier, vol. 5(3), pages 417-426.
- Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
- Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
- Pesando, James E, 1974. "The Supply of Money and Common Stock Prices: Further Observations on the Econometric Evidence," Journal of Finance, American Finance Association, vol. 29(3), pages 909-921, June.
- Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.
- Hamburger, Michael J & Kochin, Levis A, 1972. "Money and Stock Prices: The Channels of Influence," Journal of Finance, American Finance Association, vol. 27(2), pages 231-249, May.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
- M. Carbon & M. Delecroix, 1993. "Nonāparametric vs parametric forecasting in time series: A computational point of view," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 9(3), pages 215-229, September.
- Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tashman, Leonard J., 2000. "Out-of-sample tests of forecasting accuracy: an analysis and review," International Journal of Forecasting, Elsevier, vol. 16(4), pages 437-450.
- Ashley, Richard, 1998. "A new technique for postsample model selection and validation," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 647-665, May.
- Brown, Charles & Gilroy, Curtis & Kohen, Andrew, 1982. "The Effect of the Minimum Wage on Employment and Unemployment," Journal of Economic Literature, American Economic Association, vol. 20(2), pages 487-528, June.
- Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
- Homa, Kenneth E & Jaffee, Dwight M, 1971. "The Supply of Money and Common Stock Prices," Journal of Finance, American Finance Association, vol. 26(5), pages 1045-1066, December.
- West, Kenneth D & McCracken, Michael W, 1998.
"Regression-Based Tests of Predictive Ability,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-840, November.
- West, K.D. & McCracken, M.W., 1997. "Regression-Based Tests of Predictive Ability," Working papers 9710, Wisconsin Madison - Social Systems.
- Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc.
- Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Laurent Ferrara & Thomas Raffinot, 2008. "A non-parametric method to nowcast the Euro Area IPI," Post-Print halshs-00275769, HAL.
- Ye, Haichun & Ashley, Richard & Guerard, John, 2015. "Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis," International Journal of Forecasting, Elsevier, vol. 31(2), pages 488-500.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
- McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
- Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.
- Corradi, Valentina & Swanson, Norman R., 2004.
"Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives,"
International Journal of Forecasting, Elsevier, vol. 20(2), pages 185-199.
- Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics.
- repec:lan:wpaper:470 is not listed on IDEAS
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005.
"Federal Funds Rate Prediction,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
- Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
- Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- repec:lan:wpaper:425 is not listed on IDEAS
- repec:lan:wpaper:539557 is not listed on IDEAS
- repec:lan:wpaper:413 is not listed on IDEAS
- Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
- West, Kenneth D & McCracken, Michael W, 1998.
"Regression-Based Tests of Predictive Ability,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-840, November.
- West, K.D. & McCracken, M.W., 1997. "Regression-Based Tests of Predictive Ability," Working papers 9710, Wisconsin Madison - Social Systems.
- Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc.
- Rossi, Barbara & Sekhposyan, Tatevik, 2011.
"Understanding models' forecasting performance,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 158-172, September.
- Barbara Rossi & Tatevik Sekhposyan, 2010. "Understanding Models' Forecasting Performance," Working Papers 10-56, Duke University, Department of Economics.
- West, Kenneth D., 2001.
"Encompassing tests when no model is encompassing,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 287-308, November.
- West,K.D., 1999. "Encompassing tests when no model is encompassing," Working papers 36, Wisconsin Madison - Social Systems.
- Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc.
- West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
- Clements, Michael P. & Harvey, David I., 2011.
"Combining probability forecasts,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223.
- Clements, Michael P. & Harvey, David I., 2011. "Combining probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 208-223, April.
- Hendry, David F. & Hubrich, Kirstin, 2006.
"Forecasting economic aggregates by disaggregates,"
Working Paper Series
589, European Central Bank.
- Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
- Barbara Rossi & Atsushi Inoue, 2012.
"Out-of-Sample Forecast Tests Robust to the Choice of Window Size,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 432-453, April.
- Rossi, Barbara & Inoue, Atsushi, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Barbara Rossi, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
- Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers 1404, Department of Economics and Business, Universitat Pompeu Fabra.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
Research Paper
9525, Federal Reserve Bank of New York.
- Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
- Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
- Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
- Michael P. Clements & David I. Harvey, 2010.
"Forecast encompassing tests and probability forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
- Clements, Michael P. & Harvey, David I., 2006. "Forecast Encompassing Tests and Probability Forecasts," Economic Research Papers 269744, University of Warwick - Department of Economics.
- Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:20:y:2004:i:1:p:53-67. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.