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Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques

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Cited by:

  1. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  2. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
  3. Canova, Fabio & Ciccarelli, Matteo, 2004. "Forecasting and turning point predictions in a Bayesian panel VAR model," Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
  4. David Bessler & Robert Ruffley, 2004. "Prequential analysis of stock market returns," Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 399-412.
  5. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  6. Kenneth W Clements & Grace Gao, 2013. "A Multi-Market Approach to Measuring the Cycle," Economics Discussion / Working Papers 13-16, The University of Western Australia, Department of Economics.
  7. Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
  8. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
  9. Garcia-Ferrer, Antonio & Bujosa-Brun, Marcos, 2000. "Forecasting OECD industrial turning points using unobserved components models with business survey data," International Journal of Forecasting, Elsevier, vol. 16(2), pages 207-227.
  10. A.S.M. Arroyo & A. de Juan Fern¨¢ndez, 2014. "Split-then-Combine Method for out-of-sample Combinations of Forecasts," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 3(1), pages 19-37, April.
  11. Victor Zarnowitz, 1999. "Theory and History Behind Business Cycles: Are the 1990s the Onset of a Golden Age?," NBER Working Papers 7010, National Bureau of Economic Research, Inc.
  12. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  13. Angeliki ANAGNOSTOU & Stephanos PAPADAMOU, 2014. "The Impact Of Monetary Shocks On Regional Output: Evidence From Four South Eurozone Countries," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 39, pages 105-130.
  14. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
  15. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  16. Kazimi, Camilla & Brownstone, David, 1999. "Bootstrap confidence bands for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 90(1), pages 99-127, May.
  17. Carter Richard A. L. & Zellner Arnold, 2004. "The ARAR Error Model for Univariate Time Series and Distributed Lag," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-44, March.
  18. Fildes, Robert & Wei, Yingqi & Ismail, Suzilah, 2011. "Evaluating the forecasting performance of econometric models of air passenger traffic flows using multiple error measures," International Journal of Forecasting, Elsevier, vol. 27(3), pages 902-922, July.
  19. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
  20. Zellner, Arnold & Tobias, Justin, 1998. "A Note on Aggregation, Disaggregation and Forecasting Performance," CUDARE Working Papers 198677, University of California, Berkeley, Department of Agricultural and Resource Economics.
  21. Zellner, Arnold & Israilevich, Guillermo, 2005. "Marshallian Macroeconomic Model: A Progress Report," Macroeconomic Dynamics, Cambridge University Press, vol. 9(2), pages 220-243, April.
  22. Emmanuel Apergis & Nicholas Apergis, 2021. "The impact of COVID-19 on economic growth: evidence from a Bayesian Panel Vector Autoregressive (BPVAR) model," Applied Economics, Taylor & Francis Journals, vol. 53(58), pages 6739-6751, December.
  23. Dovern, Jonas & Huber, Florian, 2015. "Global prediction of recessions," Economics Letters, Elsevier, vol. 133(C), pages 81-84.
  24. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  25. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
  26. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
  27. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2018. "FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft," Working Papers 1813, Department of Applied Economics II, Universidad de Valencia.
  28. Nada Kulendran & Kevin K.F. Wong, 2009. "Predicting Quarterly Hong Kong Tourism Demand Growth Rates, Directional Changes and Turning Points with Composite Leading Indicators," Tourism Economics, , vol. 15(2), pages 307-322, June.
  29. Zellner, Arnold & Min, Chung-ki, 1998. "Forecasting turning points in countries' output growth rates: A response to Milton Friedman," Journal of Econometrics, Elsevier, vol. 88(2), pages 203-206, November.
  30. Rojo García, J.L. & Sanz Gómez, J.A., 2002. "Estimaciones para pequeñas áreas: un enfoque bayesiano al problema de la distribución de una magnitud económica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 20, pages 217-240, Abril.
  31. repec:wyi:journl:002081 is not listed on IDEAS
  32. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
  33. Zellner, Arnold, 1999. "Keep It Sophisticatedly Simple," CUDARE Working Papers 198673, University of California, Berkeley, Department of Agricultural and Resource Economics.
  34. R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," University of Western Ontario, Departmental Research Report Series 20025, University of Western Ontario, Department of Economics.
  35. David Bock & Eva Andersson & Marianne Frisén, 2005. "Statistical surveillance of cyclical processes with application to turns in business cycles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 465-490.
  36. Dharmasena, Senarath & Bessler, David & Capps, Oral. Jr, 2016. "On the Evaluation of Probability Forecasts: An Application to Qualitative Choice Models," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235424, Agricultural and Applied Economics Association.
  37. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  38. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
  39. Grillenzoni, Carlo, 1996. "Testing for causality in real time," Journal of Econometrics, Elsevier, vol. 73(2), pages 355-376, August.
  40. Estela Bee Dagum & Alessandra Luati, 2009. "A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 40-59.
  41. Kirill Shakhnov, 2015. "Belarusian Business Cycle in Cross-country Comparison: Industry and Aggregate Data," BEROC Working Paper Series 30, Belarusian Economic Research and Outreach Center (BEROC).
  42. Gustavo A. Marrero, 2007. "Traditional versus unobserved components methods to forecast quarterly national account aggregates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 129-153.
  43. Wan, Shui Ki & Song, Haiyan, 2018. "Forecasting turning points in tourism growth," Annals of Tourism Research, Elsevier, vol. 72(C), pages 156-167.
  44. W A Razzak, 2001. "Money in the era of inflation targeting," Reserve Bank of New Zealand Discussion Paper Series DP2001/02, Reserve Bank of New Zealand.
  45. Ageliki Anagnostou & Piotr Krajewski & Katarzyna Pilat, 2020. "Regional Specific Idiosyncrasies and Fiscal Policy: Evidence from 47 Regions of the Central and Eastern European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 936-954.
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