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The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors

Citations

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Cited by:

  1. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  3. Salvatore Terregrossa, 2005. "On the efficacy of constraints on the linear combination forecast model," Applied Economics Letters, Taylor & Francis Journals, vol. 12(1), pages 19-28.
  4. Fullerton, Thomas M., Jr. & Mukhopadhyay, Somnath, 2013. "Border Region Bridge and Air Transport Predictability," MPRA Paper 59583, University Library of Munich, Germany, revised 11 Jul 2013.
  5. Fair, Ray C & Shiller, Robert J, 1989. "The Informational Context of Ex Ante Forecasts," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 325-331, May.
  6. Laura Carabotta & Peter Claeys, 2024. "Combine to compete: Improving fiscal forecast accuracy over time," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 948-982, July.
  7. 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.).
  8. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc.
  9. Claude Montmarquette, 1977. "Ramdom Walk Behavior of Finished Goods Inventory Investment : Some Theoretical and Empirical Considerations," Revue Économique, Programme National Persée, vol. 28(3), pages 352-375.
  10. G.W. Harrison, 1982. "Efficient and Optional Forecast Combinations," Economics Discussion / Working Papers 82-26, The University of Western Australia, Department of Economics.
  11. 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.
  12. UÄŸur Åžener & Salvatore Joseph Terregrossa, 2024. "A Transcendental LASSO Function for Combining Machine Learning and Statistical Model Forecasts," SAGE Open, , vol. 14(3), pages 21582440241, August.
  13. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  14. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  15. repec:hal:wpspec:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  16. Paul Hubert, 2015. "Do Central Bank Forecasts Influence Private Agents? Forecasting Performance versus Signals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 771-789, June.
  17. repec:hal:spmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  18. 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.
  19. repec:lan:wpaper:470 is not listed on IDEAS
  20. repec:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  21. repec:lan:wpaper:425 is not listed on IDEAS
  22. Karine Bouthevillain, 1993. "La prévision macro-économique : précision relative et consensus," Économie et Prévision, Programme National Persée, vol. 108(2), pages 97-126.
  23. Paul Hubert, 2011. "Do central banks forecast influence private agents ? Forecasting performance vs. signals," Documents de Travail de l'OFCE 2011-20, Observatoire Francais des Conjonctures Economiques (OFCE).
  24. Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans, 2008. "Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts," CPB Document 172, CPB Netherlands Bureau for Economic Policy Analysis.
  25. 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.
  26. 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.
  27. Heuts, R.M.J., 1977. "Some reformulations and extensions in the univariate Box-Jenkins time series analysis approach (A revised version)," Other publications TiSEM 80fe73e5-ec23-4f45-9089-e, Tilburg University, School of Economics and Management.
  28. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  29. TERREGROSSA Salvatore, 2010. "On the Efficacy of Constraints on the Linear Combination Forecast Model," EcoMod2003 330700144, EcoMod.
  30. repec:lan:wpaper:539557 is not listed on IDEAS
  31. Keunkwan Ryu & Kuo-yuan Liang, 1992. "Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application," UCLA Economics Working Papers 668, UCLA Department of Economics.
  32. repec:lan:wpaper:413 is not listed on IDEAS
  33. N.D. Geomelos & E. Xideas, 2014. "Forecasting spot prices in bulk shipping using multivariate and univariate models," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-37, December.
  34. Glennon, Dennis & Kiefer, Hua & Mayock, Tom, 2018. "Measurement error in residential property valuation: An application of forecast combination," Journal of Housing Economics, Elsevier, vol. 41(C), pages 1-29.
  35. Paul Hubert, 2010. "Monetary policy, imperfect information and the expectations channel [Politique monétaire,information imparfaite et canal des anticipations]," SciencePo Working papers Main tel-04095385, HAL.
  36. John Mcdonald, 1977. "The Relationship Between Wage Inflation and Excess Demand — New Estimates Using Optimal Extrapolative Wage Expectations," The Economic Record, The Economic Society of Australia, vol. 53(4), pages 490-507, December.
  37. repec:spo:wpmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg is not listed on IDEAS
  38. 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.
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