Adaptive forecasting with hyperfilters
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hendry, David F. & Richard, Jean-Francois, 1982.
"On the formulation of empirical models in dynamic econometrics,"
Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
- HENRY, David F. & RICHARD, Jean-François, 1982. "On the formulation of empirical models in dynamic econometrics," LIDAM Reprints CORE 502, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Merkies, Arnold H. Q. M. & Steyn, Ivo J., 1994.
"Modelling changing lag patterns in Dutch construction,"
Journal of Economic Dynamics and Control, Elsevier, vol. 18(2), pages 499-509, March.
- Merkies, A.H.Q.M. & Steyn, I.J., 1991. "Modelling changing lag patterns in Dutch construction," Serie Research Memoranda 0086, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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.- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- David F. Hendry, 2013.
"Econometric Modelling: The ‘Consumption Function’ In Retrospect,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
- Hendry, David F, 1983. "Econometric Modelling: The "Consumption Function" in Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 30(3), pages 193-220, November.
- Yang, Yung Y. & Yi, Myung Hoon, 2008. "Does financial development cause economic growth? Implication for policy in Korea," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 827-840.
- Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
- Felix Pretis & Michael Mann & Robert Kaufmann, 2015. "Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection," Climatic Change, Springer, vol. 131(4), pages 705-718, August.
- Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
- Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
- Mitroussi, K. & Abouarghoub, W. & Haider, J.J. & Pettit, S.J. & Tigka, N., 2016. "Performance drivers of shipping loans: An empirical investigation," International Journal of Production Economics, Elsevier, vol. 171(P3), pages 438-452.
- John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006.
"Econometrics: A Bird’s Eye View,"
CESifo Working Paper Series
1870, CESifo.
- Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
- Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
- Idil UZ, 2010. "DETERMINANTS OF CURRENT ACCOUNT: The Relation between Internal and External Balances in Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
- Luigi Ermini & David F. Hendry, 2008.
"Log Income vs. Linear Income: An Application of the Encompassing Principle,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
- Luigi Ermini & David F. Hendry, 1991. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Working Papers 199111, University of Hawaii at Manoa, Department of Economics.
- Kevin D. Hoover & Stephen J. Perez, 1999.
"Data mining reconsidered: encompassing and the general-to-specific approach to specification search,"
Econometrics Journal,
Royal Economic Society, vol. 2(2), pages 167-191.
- Kevin D. Hoover & Stephen J. Perez, "undated". "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
- Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
- White, Halbert & Pettenuzzo, Davide, 2014.
"Granger causality, exogeneity, cointegration, and economic policy analysis,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Business School.
- Chen, Yi-Ting & Kuan, Chung-Ming, 2002.
"The pseudo-true score encompassing test for non-nested hypotheses,"
Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
- Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society.
- Hendry, David F. & Mizon, Grayham E., 2001. "Reformulating empirical macro-econometric modelling," Discussion Paper Series In Economics And Econometrics 104, Economics Division, School of Social Sciences, University of Southampton.
- Kevin A. Clarke, 2005. "The Phantom Menace: Omitted Variable Bias in Econometric Research," Conflict Management and Peace Science, Peace Science Society (International), vol. 22(4), pages 341-352, September.
- P.C.B. Phillips, 1988.
"Reflections on Econometric Methodology,"
The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
- Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
- Rajendra Prasad Shrestha Ph. D., 2008. "Private Savings Behaviour in Nepal: Long-term Determinants and Short-run Dynamics," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 20, pages 16-31, April.
- Bauwens, Luc & Sucarrat, Genaro, 2010.
"General-to-specific modelling of exchange rate volatility: A forecast evaluation,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
- Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & SUCARRAT, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: a forecast evaluation," LIDAM Reprints CORE 2234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Sucarrat, Genaro, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," UC3M Working papers. Economics we081810, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," LIDAM Discussion Papers CORE 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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:vua:wpaper:1988-18. 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: R. Dam (email available below). General contact details of provider: https://edirc.repec.org/data/fewvunl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.