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Macroeconomic forecasting during the Great Recession: The return of non-linearity?
16 references·3 citing·38 second hop
Macroeconomic forecasting during the Great Recession: The return of non-linearity? (2015)Macroeconomic forecasting during the Grea…Disentangling the Channels of the 2007–09 Recession (2012)Disentangling the Channels of…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)SMOOTH TRANSITION AUTOREGRESS…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Long memory and regime switching (2001)Long memory and regime switch…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Quantum Computing and Deep Learning Methods for GDP Growth Forecasting (2021)Quantum Computing and Deep Le…A comprehensive evaluation of macroeconomic forecasting methods (2019)A comprehensive evaluation of…Asymmetric Behaviour of Inflation around the Target in Inflation‐Targeting Countries (2015)Asymmetric Behaviour of Infla…Comparing Predictive Accuracy (1994)25 years of time series forecasting (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a unit root in the nonlinear STAR framework (2002)Dealing with Structural Breaks (2005)An Empirical Comparison of Machine Learning Models for Time Series Forecasting (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,175 cited
  • 2001Long memory and regime switching1,162 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 2012Disentangling the Channels of the 2007–09 Recession838 cited

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  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • Cited by

    • 2019A comprehensive evaluation of macroeconomic forecasting methods48 cited
    • 2021Quantum Computing and Deep Learning Methods for GDP Growth Forecasting47 cited
    • 2015Asymmetric Behaviour of Inflation around the Target in Inflation‐Targeting Countries23 cited