Advances in Forecasting Under Instability

[1]  James Mitchell,et al.  Density Nowcasts and Model Combination: Nowcasting Euro‐Area GDP Growth Over the 2008–09 Recession , 2014 .

[2]  Ana Beatriz Galvão,et al.  Changes in predictive ability with mixed frequency data , 2013 .

[3]  B. Rossi,et al.  Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set , 2013 .

[4]  Tatevik Sekhposyan,et al.  Conditional predictive density evaluation in the presence of instabilities , 2013 .

[5]  Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy , 2012 .

[6]  Dimitris Korobilis,et al.  Large Time-Varying Parameter VARs , 2012 .

[7]  Allan Timmermann,et al.  Choice of Sample Split in Out-of-Sample Forecast Evaluation , 2012 .

[8]  Antonello D’Agostino,et al.  A Century of Inflation Forecasts , 2011, Review of Economics and Statistics.

[9]  Herman K. van Dijk,et al.  Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data , 2010, SSRN Electronic Journal.

[10]  Lennart F. Hoogerheide,et al.  Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds , 2012 .

[11]  Gray Calhoun.  Why do nonlinear models provide poor macroeconomic forecasts ? , 2012 .

[12]  Bradley S. Paye,et al.  Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables , 2011 .

[13]  Monica Billio,et al.  Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data , 2011 .

[14]  Andreas Pick,et al.  Optimal Forecasts in the Presence of Structural Breaks , 2011 .

[15]  B. Rossi,et al.  Identifying the Sources of Instabilities in Macroeconomic Fluctuations , 2011, Review of Economics and Statistics.

[16]  Shaun P. Vahey,et al.  Combining VAR and DSGE forecast densities , 2011 .

[17]  Barbara Rossi,et al.  Out-of-Sample Forecast Tests Robust to the Choice of Window Size , 2011 .

[18]  Dick van Dijk,et al.  Likelihood-based scoring rules for comparing density forecasts in tails , 2011 .

[19]  Andres Gonzalez,et al.  Forecasting Inflation with Gradual Regime Shifts and Exogenous Information , 2011, SSRN Electronic Journal.

[20]  Jennifer L. Castle,et al.  Forecasting breaks and forecasting during breaks , 2011 .

[21]  Todd E. Clark.  Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility , 2011 .

[22]  J. Beckmann,et al.  The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach , 2011 .

[23]  Todd E. Clark,et al.  Forecast Combination Across Estimation Windows , 2011 .

[24]  Kenneth S. Rogoff,et al.  Can Oil Prices Forecast Exchange Rates? , 2011 .

[25]  Federico Nardari,et al.  Time-varying short-horizon predictability ☆ , 2011 .

[26]  Dimitris Korobilis,et al.  A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models , 2011 .

[27]  Barbara Rossi,et al.  Out-of-Sample Forecast Tests Robust to the Window Size Choice , 2011 .

[28]  Andrew J. Patton,et al.  Forecast Rationality Tests Based on Multi-Horizon Bounds , 2011 .

[29]  B. Rossi,et al.  Forecast Optimality Tests in the Presence of Instabilities , 2011 .

[30]  Jonathan H. Wright,et al.  Forecasting In ation , 2011 .

[31]  Rochelle M. Edge,et al.  How Useful Are Estimated DSGE Model Forecasts for Central Bankers? , 2010 .

[32]  Eric Ghysels,et al.  Regression Models with Mixed Sampling Frequencies , 2010 .

[33]  A. Schrimpf,et al.  A reappraisal of the leading indicator properties of the yield curve under structural instability , 2010 .

[34]  Kai Carstensen,et al.  Predictive Ability of Business Cycle Indicators under Test , 2010, SSRN Electronic Journal.

[35]  Tatevik Sekhposyan,et al.  Understanding Models’ Forecasting Performance , 2010 .

[36]  Barbara Rossi,et al.  Forecast comparisons in unstable environments , 2010 .

[37]  Shaun P. Vahey,et al.  Combining forecast densities from VARs with uncertain instabilities , 2010 .

[38]  Antonello D’Agostino,et al.  Macroeconomic Forecasting and Structural Change , 2009, SSRN Electronic Journal.

[39]  Francesco Ravazzolo,et al.  Combining inflation density forecasts , 2010 .

[40]  J. Gonzalo,et al.  Regime-Specific Predictability in Predictive Regressions , 2010 .

[41]  R. Giacomini,et al.  Barcelona GSE Working Paper Series Working Paper n o 784 Model Comparisons in Unstable Environments , 2015 .

[42]  Juri Marcucci,et al.  Comparing Forecast Accuracy: A Monte Carlo Investigation , 2009 .

[43]  Francesco Ravazzolo,et al.  Real-Time Inflation Forecasting in a Changing World , 2009 .

[44]  David C. Wheelock,et al.  Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature , 2009 .

[45]  G. Koop,et al.  Forecasting In ation Using Dynamic Model Averaging , 2009 .

[46]  D. Hendry,et al.  Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate , 2009, SSRN Electronic Journal.

[47]  K. Wallis,et al.  A Simple Explanation of the Forecast Combination Puzzle , 2009 .

[48]  P. Bacchetta,et al.  On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals , 2009 .

[49]  Guofu Zhou,et al.  Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy , 2009 .

[50]  Dagfinn Rime,et al.  Exchange Rate Forecasting, Order Flow and Macroeconomic Information , 2009 .

[51]  Dawit Zerom,et al.  Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation? , 2009 .

[52]  Bruce D. Phelps.  A Comprehensive Look at the Empirical Performance of Equity Premium Prediction , 2009 .

[53]  P. Hansen.  In-Sample Fit and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection , 2009 .

[54]  Mark W. Watson,et al.  Forecasting in dynamic factor models subject to structural instability , 2009 .

[55]  Gustavo Leyva,et al.  Forecasting Chilean Inflation in Difficult Times , 2008 .

[56]  Jurgen A. Doornik,et al.  Encompassing and Automatic Model Selection , 2008 .

[57]  Argia M. Sbordone,et al.  Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve , 2008 .

[58]  Davide Raggi,et al.  Estimating Regime-Switching Taylor Rules with Trend Inflation , 2008 .

[59]  Tatevik Sekhposyan,et al.  Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When? , 2008 .

[60]  Shaun P. Vahey,et al.  Forecasting Substantial Data Revisions in the Presence of Model Uncertainty , 2008 .

[61]  J. Geweke,et al.  Optimal Prediction Pools , 2008 .

[62]  Kenneth S. Rogoff,et al.  The Continuing Puzzle of Short Horizon Exchange Rate Forecasting , 2008 .

[63]  Til Schuermann,et al.  Forecasting Economic and Financial Variables with Global VARs , 2007 .

[64]  Kenneth S. Rogoff,et al.  Can Exchange Rates Forecast Commodity Prices? , 2008 .

[65]  Joseph G. Haubrich,et al.  The Yield Curve as a Predictor of Growth: Long-Run Evidence, 18751997 , 2008, The Review of Economics and Statistics.

[66]  Lucio Sarno,et al.  Exchange Rates and Fundamentals: Footloose or Evolving Relationship? , 2008 .

[67]  Allan Timmermann,et al.  Elusive Return Predictability , 2008 .

[68]  E. Koenig,et al.  The relative performance of alternative Taylor rule specifications , 2008 .

[69]  Todd E. Clark,et al.  Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts , 2008 .

[70]  Matteo Ciccarelli,et al.  Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data , 2007 .

[71]  Michael P. Clements,et al.  Explaining Forecast Failure in Macroeconomics , 2007 .

[72]  Michael W. McCracken.  Asymptotics for out of sample tests of Granger causality , 2007 .

[73]  Andrew J. Patton,et al.  Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity , 2007 .

[74]  Jon Faust,et al.  Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset , 2007 .

[75]  M. Verbeek,et al.  Predictive Gains from Forecast Combinations Using Time Varying Model Weights , 2007 .

[76]  Simon M. Potter,et al.  Estimation and forecasting in models with multiple breaks , 2007 .

[77]  M. Hashem Pesaran,et al.  Selection of estimation window in the presence of breaks , 2007 .

[78]  P. Perron,et al.  Estimating and Testing Structural Changes in Multivariate Regressions , 2007 .

[79]  P. Franses,et al.  Bayesian Model Averaging in the Presence of Structural Breaks , 2007 .

[80]  J. Stock,et al.  Why Has U.S. Inflation Become Harder to Forecast , 2007 .

[81]  Fabio Canova,et al.  G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE? , 2007, Macroeconomic Dynamics.

[82]  S. Hall,et al.  Combining density forecasts , 2007 .

[83]  R. Giacomini,et al.  How Stable is the Forecasting Performance of the Yield Curve for Output Growth? , 2006 .

[84]  Allan Timmermann,et al.  Persistence in forecasting performance and conditional combination strategies , 2006 .

[85]  Todd E. Clark,et al.  Forecasting with Small Macroeconomic VARs in the Presence of Instabilities , 2006 .

[86]  Todd E. Clark,et al.  Averaging Forecasts from Vars with Uncertain Instabilities , 2006 .

[87]  Graham Elliott,et al.  Efficient Tests for General Persistent Time Variation in Regression Coefficients , 2006 .

[88]  R. Giacomini,et al.  Detecting and Predicting Forecast Breakdowns , 2006, SSRN Electronic Journal.

[89]  C. Granger,et al.  Handbook of Economic Forecasting , 2006 .

[90]  Paolo Surico,et al.  (Un)Predictability and Macroeconomic Stability , 2006, SSRN Electronic Journal.

[91]  M. Wohar,et al.  Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns , 2006 .

[92]  Jean Boivin,et al.  Has Monetary Policy Become More Effective? , 2003, The Review of Economics and Statistics.

[93]  Michael P. Clements,et al.  Forecasting with Breaks , 2006 .

[94]  Massimiliano Marcellino,et al.  Chapter 16 Leading Indicators , 2006 .

[95]  Norman R. Swanson,et al.  Chapter 5 Predictive Density Evaluation , 2006 .

[96]  J. Stock,et al.  Forecasting with Many Predictors , 2006 .

[97]  F. Diebold,et al.  VOLATILITY AND CORRELATION FORECASTING , 2006 .

[98]  Massimo Guidolin,et al.  Asset Allocation Under Multivariate Regime Switching , 2006 .

[99]  Timo Teräsvirta,et al.  Forecasting economic variables with nonlinear models , 2005 .

[100]  Todd E. Clark,et al.  Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .

[101]  A. Timmermann.  Forecast Combinations , 2005 .

[102]  Jana Eklund,et al.  Forecast Combination and Model Averaging Using Predictive Measures , 2005 .

[103]  Norman R. Swanson,et al.  Predictive Density Evaluation , 2005 .

[104]  M. Wohar,et al.  Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? , 2005 .

[105]  Barbara Rossi,et al.  OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY , 2005, Econometric Theory.

[106]  Allan Timmermann,et al.  Instability of Return Prediction Models , 2005 .

[107]  B. Rossi.  ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY , 2005, Macroeconomic Dynamics.

[108]  Rodney W. Strachan,et al.  Reexamining the Consumption-Wealth Relationship: The Role of Model Uncertainty , 2005 .

[109]  C. Engel,et al.  Exchange Rates and Fundamentals , 2003, Journal of Political Economy.

[110]  Todd E. Clark,et al.  The power of tests of predictive ability in the presence of structural breaks , 2005 .

[111]  G. Elliott.  Forecasting with Trending Data , 2005 .

[112]  Sveriges Riksbank.  Forecast Combination and Model Averaging using Predictive Measures , 2005 .

[113]  Stephen Gordon,et al.  Learning, Forecasting and Structural Breaks , 2008 .

[114]  Aaron Smith.  Forecasting in the Presence of Level Shifts , 2004 .

[115]  Gary Koop,et al.  Forecasting in Dynamic Factor Models Using Bayesian Model Averaging , 2004 .

[116]  Allan Timmermann,et al.  Optimal Forecast Combination Under Regime Switching , 2004 .

[117]  Ana B. Galvao,et al.  Structural Break Threshold Vars for Predicting Us Recessions Using the Spread , 2004 .

[118]  J. Stock,et al.  Combination forecasts of output growth in a seven-country data set , 2004 .

[119]  Graham Elliott,et al.  Confidence Sets for the Date of a Single Break in Linear Time Series Regressions , 2004 .

[120]  Davide Pettenuzzo,et al.  Forecasting Time Series Subject to Multiple Structural Breaks , 2004, SSRN Electronic Journal.

[121]  Todd E. Clark,et al.  Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis , 2004 .

[122]  Michael P. Clements,et al.  Forecasting economic and financial time-series with non-linear models , 2004 .

[123]  Marno Verbeek,et al.  The Economic Value of Predicting Stock Index Returns and Volatility , 2001, Journal of Financial and Quantitative Analysis.

[124]  Michael P. Clements,et al.  A companion to economic forecasting , 2004 .

[125]  Charles C. Holt,et al.  Author's retrospective on ‘Forecasting seasonals and trends by exponentially weighted moving averages’ , 2004 .

[126]  Arnold Zellner,et al.  "Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates" , 2004 .

[127]  David F. Hendry,et al.  The Properties of Automatic Gets Modelling , 2004 .

[128]  T. Sargent,et al.  Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. , 2003 .

[129]  Jonathan H. Wright,et al.  Forecasting U.S. Inflation by Bayesian Model Averaging , 2003 .

[130]  Jonathan H. Wright,et al.  Bayesian Model Averaging and Exchange Rate Forecasts , 2003 .

[131]  Andrew J. Patton,et al.  Properties of Optimal Forecasts , 2003 .

[132]  Halbert White,et al.  Tests of Conditional Predictive Ability , 2003 .

[133]  A. Timmermann,et al.  Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks , 2003, SSRN Electronic Journal.

[134]  Gary Koop,et al.  Forecasting in Large Macroeconomic Panels Using Bayesian Model Averaging , 2003 .

[135]  Lutz Kilian,et al.  On the Selection of Forecasting Models , 2003, SSRN Electronic Journal.

[136]  Norman R. Swanson,et al.  Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification , 2003 .

[137]  G. William Schwert,et al.  Chapter 15 Anomalies and market efficiency , 2003 .

[138]  A. Timmermann,et al.  Market timing and return prediction under model instability , 2002 .

[139]  L. Kilian,et al.  In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? , 2002, SSRN Electronic Journal.

[140]  Raffaella Giacomini,et al.  Comparing Density Forecasts via Weighted Likelihood Ratio Tests , 2002 .

[141]  Allan Timmermann,et al.  Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions , 2002 .

[142]  Timothy Cogley,et al.  A Simple Adaptive Measure of Core Inflation , 2002 .

[143]  Michael P. Clements,et al.  Pooling of Forecasts , 2004 .

[144]  S. Kozicki,et al.  Shifting endpoints in the term structure of interest rates , 2001 .

[145]  Andrew Ang,et al.  Stock Return Predictability: Is it There? , 2001 .

[146]  J. Stock,et al.  Forecasting Output and Inflation: The Role of Asset Prices , 2001 .

[147]  David F. Hendry,et al.  On detectable and non-detectable structural change , 2000 .

[148]  Bruce E. Hansen,et al.  Testing for structural change in conditional models , 2000 .

[149]  Allan Timmermann,et al.  Firm Size and Cyclical Variations in Stock Returns , 2000 .

[150]  B. Kirchheimer,et al.  Leading indicators. , 2000, Modern healthcare.

[151]  Dean Croushore,et al.  A real-time data set for macroeconomists , 2001 .

[152]  Robert F. Engle,et al.  The Reviewof Economicsand Statistics , 1999 .

[153]  Todd E. Clark,et al.  Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .

[154]  H. White,et al.  Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap , 1999 .

[155]  J. Stock,et al.  A dynamic factor model framework for forecast combination , 1999 .

[156]  P. Bossaerts,et al.  Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? , 1999 .

[157]  Anthony S. Tay,et al.  Evaluating Density Forecasts with Applications to Financial Risk Management , 1998 .

[158]  J. Stock,et al.  A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series , 1998 .

[159]  Norman R. Swanson,et al.  Money and output viewed through a rolling window , 1998 .

[160]  P. Newbold,et al.  Tests for Forecast Encompassing , 1998 .

[161]  Michael J. Cooper,et al.  On the Predictability of Stock Returns in Real Time , 1998 .

[162]  Margaret Mary McConnell,et al.  Output Fluctuations in the United States: What Has Changed Since the Early 1980s? , 1998 .

[163]  J. Bai,et al.  Estimation of a Change Point in Multiple Regression Models , 1997, Review of Economics and Statistics.

[164]  Norman R. Swanson,et al.  A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks , 1997, Review of Economics and Statistics.

[165]  E. Fama,et al.  Industry costs of equity , 1997 .

[166]  David I. Harvey.  The evaluation of economic forecasts , 1997 .

[167]  Michael P. Clements,et al.  Intercept Corrections and Structural Change , 1996 .

[168]  F. Diebold,et al.  Forecast Evaluation and Combination , 1996 .

[169]  A. Timmermann,et al.  Predictability of Stock Returns: Robustness and Economic Significance , 1995 .

[170]  Norman R. Swanson,et al.  A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks , 1995 .

[171]  P. Perron,et al.  Estimating and testing linear models with multiple structural changes , 1995 .

[172]  K. West,et al.  Asymptotic Inference about Predictive Ability , 1996 .

[173]  J. Stock,et al.  Evidence on Structural Instability in Macroeconomic Time Series Relations , 1994 .

[174]  Michael P. Clements,et al.  On the limitations of comparing mean square forecast errors , 1993 .

[175]  D. Andrews.  Tests for Parameter Instability and Structural Change with Unknown Change Point , 1993 .

[176]  Arnold Zellner,et al.  Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates , 1993 .

[177]  Fabio Canova,et al.  Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model , 1993 .

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[180]  Geert Bekaert,et al.  Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets , 1991 .

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