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The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ben Bernanke's Legacy
    by Stephen Williamson in Stephen Williamson: New Monetarist Economics on 2014-01-27 00:21:00
  2. What's a Macro Model Good For?
    by Stephen Williamson in Stephen Williamson: New Monetarist Economics on 2017-01-16 04:38:00

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Cars Hommes & Kostas Mavromatis & Tolga Ozden & Mei Zhu, 2019. "Behavioral learning equilibria in the New Keynesian model," DNB Working Papers 654, Netherlands Central Bank, Research Department.
  2. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  3. Diebold, Francis X. & Rudebusch, Glenn D., 2022. "Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections," Journal of Econometrics, Elsevier, vol. 231(2), pages 520-534.
  4. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  5. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
  6. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
  7. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
  8. 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.
  9. Xiaoming Cai & Wouter J. Den Haan & Jonathan Pinder, 2016. "Predictable Recoveries," Economica, London School of Economics and Political Science, vol. 83(330), pages 307-337, April.
  10. Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016. "Great expectations? evidence from Colombia’s exchange rate survey," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
  11. TERREGROSSA Salvatore, 2010. "On the Efficacy of Constraints on the Linear Combination Forecast Model," EcoMod2003 330700144, EcoMod.
  12. Prem P. Talwar & Edward J. Chambers, 1993. "Forecasting Provincial Business Indicator Variables and Forecast Evaluation," Urban Studies, Urban Studies Journal Limited, vol. 30(10), pages 1763-1773, December.
  13. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
  14. repec:rre:publsh:v:33:y:2003:i:1:p:85-103 is not listed on IDEAS
  15. repec:lan:wpaper:539557 is not listed on IDEAS
  16. Neroli Austin & Geordie Reid, 2017. "NZSIM: A model of the New Zealand economy for forecasting and policy analysis," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 80, pages 1-14, January.
  17. Armstrong, J. Scott & Green, Kesten C. & Graefe, Andreas, 2015. "Golden rule of forecasting: Be conservative," Journal of Business Research, Elsevier, vol. 68(8), pages 1717-1731.
  18. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
  19. Larson, William D. & Sinclair, Tara M., 2022. "Nowcasting unemployment insurance claims in the time of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
  20. Bouras, Christos & Christou, Christina & Gupta, Rangan & Lesame, Keagile, 2023. "Forecasting state- and MSA-level housing returns of the US: The role of mortgage default risks," Research in International Business and Finance, Elsevier, vol. 65(C).
  21. Spanos, Aris, 1990. "The simultaneous-equations model revisited : Statistical adequacy and identification," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 87-105.
  22. 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.
  23. Emrah Gulay, 2018. "Comparing Simple Forecasting Methods and Complex Methods: A Frame of Forecasting Competition," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(2), pages 159-169, June.
  24. Alexandre Mathis & Andrew Brociner, 1994. "Retour vers le futur. Une analyse rétrospective des prévisions de MOSAÏQUE," Revue de l'OFCE, Programme National Persée, vol. 49(1), pages 207-228.
  25. G.W. Harrison, 1982. "Efficient and Optional Forecast Combinations," Economics Discussion / Working Papers 82-26, The University of Western Australia, Department of Economics.
  26. Matthew N. Luzzetti & Lee E. Ohanian, 2012. "The General Theory of Employment, Interest, and Money after 75 Years: The Importance of Being in the Right Place at the Right Time," Chapters, in: Thomas Cate (ed.), Keynes’s General Theory, chapter 7, Edward Elgar Publishing.
  27. Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
  28. Francis X. Diebold & Glenn D. Rudebusch, 2019. "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," PIER Working Paper Archive 19-021, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  29. Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020. "Smooth Robust Multi-Horizon Forecasts," Working Papers 2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
  30. Justin van de Ven, 2017. "Exploring the Importance of Incentive Responses for Policy Projections," International Journal of Microsimulation, International Microsimulation Association, vol. 10(3), pages 134-164.
  31. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
  32. Morgan Westéus, 2014. "Settlement probability asymmetries in the Swedish Labour Court," European Journal of Law and Economics, Springer, vol. 38(3), pages 485-512, December.
  33. Clements, Michael P. & Reade, J. James, 2020. "Forecasting and forecast narratives: The Bank of England Inflation Reports," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1488-1500.
  34. Hommes, Cars & Zhu, Mei, 2014. "Behavioral learning equilibria," Journal of Economic Theory, Elsevier, vol. 150(C), pages 778-814.
  35. repec:lan:wpaper:413 is not listed on IDEAS
  36. Karine Bouthevillain & Alexandre Mathis, 1995. "Prévisions : mesures, erreurs et principaux résultats," Économie et Statistique, Programme National Persée, vol. 285(1), pages 89-100.
  37. Francis X. Diebold, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-192, Spring.
  38. Niraj Poudyal & Aris Spanos, 2022. "Model Validation and DSGE Modeling," Econometrics, MDPI, vol. 10(2), pages 1-25, April.
  39. repec:zbw:bofrdp:2018_022 is not listed on IDEAS
  40. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Research Discussion Papers 22/2018, Bank of Finland.
  41. Carol Taylor West & Thomas M. Fullerton Jr., 2004. "Assessing the Historical Accuracy of Regional Economic Forecasts," Urban/Regional 0404009, University Library of Munich, Germany.
  42. Cars Hommes & Kostas Mavromatis & Tolga Özden & Mei Zhu, 2023. "Behavioral learning equilibria in New Keynesian models," Quantitative Economics, Econometric Society, vol. 14(4), pages 1401-1445, November.
  43. 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.
  44. Stephen K. McNees, 1990. "Man vs. model? The role of judgment in forecasting," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 41-52.
  45. William Conrad, 1977. "Imperfect Observation and Systematic Policy Error," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 3, pages 247-258, National Bureau of Economic Research, Inc.
  46. Slanicay Martin, 2014. "Some Notes on Historical, Theoretical, and Empirical Background of DSGE Models," Review of Economic Perspectives, Sciendo, vol. 14(2), pages 145-164, June.
  47. Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
  48. Hommes, C.H. & Zhu, M., 2016. "Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy," CeNDEF Working Papers 16-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  49. Cai, Xiaoming & Den Haan, Wouter J. & Pinder, Jonathan, 2016. "Predictable recoveries," LSE Research Online Documents on Economics 65188, London School of Economics and Political Science, LSE Library.
  50. Pu Chen & Joachim Frohn, 2006. "On the specification and estimation of large scale simultaneous structural macroeconometric models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 9-25, March.
  51. Michael Wickens, 2014. "How Useful are DSGE Macroeconomic Models for Forecasting?," Open Economies Review, Springer, vol. 25(1), pages 171-193, February.
  52. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
  53. Armstrong, J Scott, 1978. "Forecasting with Econometric Methods: Folklore versus Fact," The Journal of Business, University of Chicago Press, vol. 51(4), pages 549-564, October.
  54. repec:wrk:wrkemf:08 is not listed on IDEAS
  55. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
  56. repec:hal:wpspec:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  57. Christopher L. Gilbert & Duo Qin, 2005. "The First Fifty Years of Modern Econometrics," Working Papers 544, Queen Mary University of London, School of Economics and Finance.
  58. repec:hal:spmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  59. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
  60. repec:lan:wpaper:470 is not listed on IDEAS
  61. Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
  62. Zhao, Mingjun, 2007. "Monetary policy under misspecified expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1278-1299, April.
  63. M. Manzur, 1987. "How Much are Exchange Rate Forecasts Worth?," Economics Discussion / Working Papers 87-01, The University of Western Australia, Department of Economics.
  64. repec:spo:wpmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  65. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
  66. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  67. repec:lan:wpaper:425 is not listed on IDEAS
  68. Clements, Michael P., 2003. "Some possible directions for future research," International Journal of Forecasting, Elsevier, vol. 19(1), pages 1-3.
  69. Karine Bouthevillain, 1993. "La prévision macro-économique : précision relative et consensus," Économie et Prévision, Programme National Persée, vol. 108(2), pages 97-126.
  70. Elkin Castaño Vélez & Luis Fernando Melo Velandia, 2000. "Metodos de combinacion de pronosticos: una aplicacion a la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 52, pages 113-165, Enero Jun.
  71. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
  72. Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2022. "Smooth Robust Multi-Horizon Forecasts," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 143-165, Emerald Group Publishing Limited.
  73. Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.
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