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On the selection of forecasting models
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Cited by:
- Wright, Jonathan H., 2019. "Some observations on forecasting and policy," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1186-1192.
- Atsushi Inoue & Mototsugu Shintani, 2018.
"Quasi‐Bayesian model selection,"
Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
- Atsushi Inoue & Mototsugu Shintania, 2014. "Quasi-Bayesian Model Selection," Departmental Working Papers 1402, Southern Methodist University, Department of Economics.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Atsushi Inoue & Lutz Kilian & Fatma Burcu Kiraz, 2009.
"Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1331-1363, October.
- Atsushi Inoue & Lutz Kilian & Fatma Burcu Kiraz, 2009. "Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1331-1363, October.
- Kilian, Lutz & Inoue, Atsushi & ,, 2006. "Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data," CEPR Discussion Papers 5790, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank.
- Kilian, Lutz & Inoue, Atsushi, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers.
- Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society.
- repec:wsr:wpaper:y:2008:i:009 is not listed on IDEAS
- Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
- Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
- Bec Frédérique & Salem Melika Ben, 2013.
"Inventory investment and the business cycle: the usual suspect,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 335-343, May.
- Frédérique Bec & Mélika Ben Salem, 2012. "Inventory Investment and the Business Cycle : The usual Suspect," Working Papers 2012-09, Center for Research in Economics and Statistics.
- Frédérique Bec & Mélika Ben Salem, 2013. "Inventory investment and the business cycle: the usual suspect," PSE-Ecole d'économie de Paris (Postprint) halshs-00846501, HAL.
- Frédérique Bec & Mélika Ben Salem, 2013. "Inventory investment and the business cycle: the usual suspect," Post-Print halshs-00846501, HAL.
- Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009.
"Pooling versus model selection for nowcasting with many predictors: An application to German GDP,"
CEPR Discussion Papers
7197, C.E.P.R. Discussion Papers.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
- Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
- Inoue, Atsushi & Kilian, Lutz, 2006.
"On the selection of forecasting models,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
- Kilian, Lutz & Inoue, Atsushi, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers.
- Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank.
- Schanne, N. & Wapler, R. & Weyh, A., 2010.
"Regional unemployment forecasts with spatial interdependencies,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 908-926, October.
- Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB-Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2008. "Regional unemployment forecasts with spatial interdependencies," IAB-Discussion Paper 200828, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Bec, Frédérique & Mogliani, Matteo, 2015.
"Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
- Bec, F. & Mogliani, M., 2013. "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers 436, Banque de France.
- Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
- Rómulo Chumacero E., 2004.
"Forecasting Chilean Industrial Production and Sales With Automated Procedures,"
Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(3), pages 47-56, December.
- Rómulo Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Working Papers Central Bank of Chile 260, Central Bank of Chile.
- Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004 112, Society for Computational Economics.
- Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White, 2003.
"A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA),"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
- Halbert L. White & Giampiero M. Gallo & Teodosio Pérez Amaral, 2002. "A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0201, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert White, 2003. "Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Documentos de Trabajo del ICAE 0309, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Econometrics Working Papers Archive wp2003_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Pär Österholm, 2010.
"Improving Unemployment Rate Forecasts Using Survey Data,"
Finnish Economic Papers, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
- Österholm, Pär, 2009. "Improving Unemployment Rate Forecasts Using Survey Data," Working Papers 112, National Institute of Economic Research.
- Helmut Herwartz, 2011. "Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection," Empirical Economics, Springer, vol. 41(2), pages 487-510, October.
- Clark, Todd E. & McCracken, Michael W., 2012.
"In-sample tests of predictive ability: A new approach,"
Journal of Econometrics, Elsevier, vol. 170(1), pages 1-14.
- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Working Papers 2009-051, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
- Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
- Rossi, Barbara, 2006.
"Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability,"
Macroeconomic Dynamics, Cambridge University Press, vol. 10(1), pages 20-38, February.
- Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," Data 0503001, University Library of Munich, Germany.
- Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance 0503006, University Library of Munich, Germany.
- Kilian, Lutz & Manganelli, Simone, 2003.
"The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks,"
CEPR Discussion Papers
3918, C.E.P.R. Discussion Papers.
- Kilian, Lutz & Manganelli, Simone, 2003. "The central bank as a risk manager: quantifying and forecasting inflation risks," Working Paper Series 226, European Central Bank.
- Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016.
"Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon,"
Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
- Carlos, Thiago Carlomagno & Marçal, Emerson Fernandes, 2013. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão 346, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
- Schwarzmüller, Tim, 2015. "Model pooling and changes in the informational content of predictors: An empirical investigation for the euro area," Kiel Working Papers 1982, Kiel Institute for the World Economy (IfW Kiel).
- Nima Zarrabi & Stuart Snaith & Jerry Coakley, 2022. "Exchange rate forecasting using economic models and technical trading rules," The European Journal of Finance, Taylor & Francis Journals, vol. 28(10), pages 997-1018, July.
- Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.
- Chu, Pyung Kun & Hoff, Kristian & Molnár, Peter & Olsvik, Magnus, 2022. "Crude oil: Does the futures price predict the spot price?," Research in International Business and Finance, Elsevier, vol. 60(C).
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Bhardwaj, Geetesh & Swanson, Norman R., 2006.
"An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
- Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
- Susanne M. Schennach & Daniel Wilhelm, 2017.
"A Simple Parametric Model Selection Test,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1663-1674, October.
- Susanne M. Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers CWP10/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2016. "A simple parametric model selection test," CeMMAP working papers 30/16, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2016. "A simple parametric model selection test," CeMMAP working papers CWP30/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach & Daniel Wilhelm, 2014. "A simple parametric model selection test," CeMMAP working papers 10/14, Institute for Fiscal Studies.
- Sultan Mehmood, 2014.
"Terrorism and the macroeconomy: Evidence from Pakistan,"
Defence and Peace Economics, Taylor & Francis Journals, vol. 25(5), pages 509-534, October.
- Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
- Kirstin Hubrich & Kenneth D. West, 2010.
"Forecast evaluation of small nested model sets,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
- Kirstin Hubrich & Kenneth D. West, 2008. "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers 14601, National Bureau of Economic Research, Inc.
- Hubrich, Kirstin & West, Kenneth D., 2009. "Forecast evaluation of small nested model sets," Working Paper Series 1030, European Central Bank.
- 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.
- Petropoulos, Fotios & Spiliotis, Evangelos & Panagiotelis, Anastasios, 2023. "Model combinations through revised base rates," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1477-1492.
- Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
- Hendry, David & Hubrich, Kirstin, 2006.
"Forecasting Economic Aggregates by Disaggregates,"
CEPR Discussion Papers
5485, C.E.P.R. Discussion Papers.
- Hendry, David F. & Hubrich, Kirstin, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank.
- 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.
- Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
- Christiane Baumeister & Lutz Kilian, 2014.
"What Central Bankers Need To Know About Forecasting Oil Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 869-889, August.
- Kilian, Lutz & Baumeister, Christiane, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers 9118, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2013. "What Central Bankers Need to Know about Forecasting Oil Prices," Staff Working Papers 13-15, Bank of Canada.
- Alexandra Bozhechkova & Urmat Dzhunkeev, 2024. "CLARA and CARLSON: Combination of Ensemble and Neural Network Machine Learning Methods for GDP Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 83(3), pages 45-69, September.
- Helmut Herwartz, 2011. "Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 147-168, June.
- Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
- Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
- Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
- Ard Reijer & Peter Vlaar, 2006.
"Forecasting Inflation: An Art as Well as a Science!,"
De Economist, Springer, vol. 154(1), pages 19-40, March.
- Peter Vlaar & Ard den Reijer, 2004. "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004 148, Society for Computational Economics.
- Todd E. Clark & Michael W. McCracken, 2009.
"Combining Forecasts from Nested Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
- Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2007. "Combining forecasts from nested models," Finance and Economics Discussion Series 2007-43, Board of Governors of the Federal Reserve System (U.S.).
- Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014.
"Predicting BRICS stock returns using ARFIMA models,"
Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
- Duarte, Claudia & Rua, Antonio, 2007. "Forecasting inflation through a bottom-up approach: How bottom is bottom?," Economic Modelling, Elsevier, vol. 24(6), pages 941-953, November.
- Lance Bachmeier & Qi Li & Dandan Liu, 2008. "Should Oil Prices Receive So Much Attention? An Evaluation Of The Predictive Power Of Oil Prices For The U.S. Economy," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 528-539, October.
- Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
- Costantini, Mauro & Kunst, Robert M., 2021.
"On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 445-460.
- Costantini, Mauro & Kunst, Robert M., 2018. "On Using Predictive-ability Tests in the Selection of Time-series Prediction Models: A Monte Carlo Evaluation," Economics Series 341, Institute for Advanced Studies.
- Valentina Corradi & Norman R. Swanson, 2007.
"Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, February.
- Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
- Amor Aniss Benmoussa & Reinhard Ellwanger & Stephen Snudden, 2020. "The New Benchmark for Forecasts of the Real Price of Crude Oil," Staff Working Papers 20-39, Bank of Canada.
- Christian Schumacher, 2007.
"Forecasting German GDP using alternative factor models based on large datasets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302.
- Schumacher, Christian, 2005. "Forecasting German GDP using alternative factor models based on large datasets," Discussion Paper Series 1: Economic Studies 2005,24, Deutsche Bundesbank.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
- Costantini, Mauro & Kunst, Robert M., 2011. "On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models," Economics Series 276, Institute for Advanced Studies.
- Paul D. McNelis & Salih N. Neftci, 2006. "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?," Working Papers 012006, Hong Kong Institute for Monetary Research.
- Francis X. Diebold, 2015.
"Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 1-1, January.
- Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," NBER Working Papers 18391, National Bureau of Economic Research, Inc.
- Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive 12-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Aatola, Piia & Ollikka, Kimmo & Ollikainen, Markku, 2012. "Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading," Working Papers 28, VATT Institute for Economic Research.
- Raffaella Giacomini & Barbara Rossi, 2010.
"Forecast comparisons in unstable environments,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
- Giacomini, Raffaella & Rossi, Barbara, 2008. "Forecast Comparisons in Unstable Environments," Working Papers 08-04, Duke University, Department of Economics.
- Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006.
"What defines `news' in foreign exchange markets?,"
Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
- Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan.
- Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
- Filip Staněk, 2023. "Optimal out‐of‐sample forecast evaluation under stationarity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2249-2279, December.
- Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
- Remes, Piia, 2013. "Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts," Research Reports 62, VATT Institute for Economic Research.
- Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
- Nikolay Robinzonov & Klaus Wohlrabe, 2010.
"Freedom of Choice in Macroeconomic Forecasting ,"
CESifo Economic Studies, CESifo Group, vol. 56(2), pages 192-220, June.
- Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Alexander Vosseler & Enzo Weber, 2018. "Forecasting seasonal time series data: a Bayesian model averaging approach," Computational Statistics, Springer, vol. 33(4), pages 1733-1765, December.
- Hubrich, Kirstin, 2005.
"Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?,"
International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
- Hubrich, Kirstin, 2003. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Working Paper Series 247, European Central Bank.
- Kirstin Hubrich, 2004. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," Computing in Economics and Finance 2004 230, Society for Computational Economics.
- Matteo Fragetta & Giovanni Melina, 2013.
"Identification of monetary policy in SVAR models: a data-oriented perspective,"
Empirical Economics, Springer, vol. 45(2), pages 831-844, October.
- Matteo Fragetta & Giovanni Melina, 2011. "Identification of Monetary Policy in SVAR Models: A Data-Oriented Perspective," School of Economics Discussion Papers 0811, School of Economics, University of Surrey.
- Panos K. Pouliasis & Nikos C. Papapostolou, 2018. "Volatility and correlation timing: The role of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1407-1439, November.
- Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
- Lutz Kilian & Atsushi Inoue, 2004.
"Bagging Time Series Models,"
Econometric Society 2004 North American Summer Meetings
110, Econometric Society.
- Kilian, Lutz & Inoue, Atsushi, 2004. "Bagging Time Series Models," CEPR Discussion Papers 4333, C.E.P.R. Discussion Papers.
- Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406.
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