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Evaluating the forecast densities of linear and non-linear models: applications to output growth and unemployment
16 references·16 citing·39 second hopsampled
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(1993)Do recessions permanently cha…Calculating Interval Forecasts (1993)Calculating Interval ForecastsA Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Crude oil price analysis and forecasting: A perspective of “new triangle” (2020)Crude oil price analysis and …Evaluating forecasts of political conflict dynamics (2014)Evaluating forecasts of polit…Forecasting With DSGE Models (2012)Forecasting With DSGE ModelsReal Time, Time Series Forecasting of Inter- and Intra-State Political Conflict (2011)Real Time, Time Series Foreca…Likelihood-based scoring rules for comparing density forecasts in tails (2011)Likelihood-based scoring rule…Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (2007)Can the random walk model be …The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior (2006)The out-of-sample forecasting…Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers (2005)Modelling and forecasting sto…Empirical exchange rate models and currency risk: some evidence from density forecasts (2005)Empirical exchange rate model…Bootstrap conditional distribution tests in the presence of dynamic misspecification (2005)Bootstrap conditional distrib…Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (2004)Out-of-Sample Performance of …Forecasting with Smooth Transition Autoregressive Models (2004)Forecasting with Smooth Trans…Evaluating the Bank of England Density Forecasts of Inflation (2004)Evaluating the Bank of Englan…Decision‐Based Methods for Forecast Evaluation (2004)Decision‐Based Methods for Fo…An evaluation of tests of distributional forecasts (2003)An evaluation of tests of dis…The performance of non‐linear exchange rate models: a forecasting comparison (2002)The performance of non‐linear…Are Economic Time Series Asymmetric over the Business Cycle? 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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1995A nonlinear approach to US GNP562 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1993Do recessions permanently change output?478 cited
  • 1993Nonlinear Dynamic Structures437 cited
  • 1993Calculating Interval Forecasts364 cited
  • 1994Some advances in non‐linear and adaptive modelling in time‐series361 cited
  • 1999Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange343 cited

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  • 1997Optimal Prediction Under Asymmetric Loss342 cited
  • Cited by

    • 2011Real Time, Time Series Forecasting of Inter- and Intra-State Political Conflict167 cited
    • 2011Likelihood-based scoring rules for comparing density forecasts in tails149 cited
    • 2004Evaluating the Bank of England Density Forecasts of Inflation124 cited
    • 2004Decision‐Based Methods for Forecast Evaluation110 cited
    • 2005Bootstrap conditional distribution tests in the presence of dynamic misspecification106 cited
    • 2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers82 cited
    • 2020Crude oil price analysis and forecasting: A perspective of “new triangle”82 cited
    • 2006The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior81 cited
    • 2014Evaluating forecasts of political conflict dynamics77 cited
    • 2005Empirical exchange rate models and currency risk: some evidence from density forecasts76 cited
    • 2012Forecasting With DSGE Models71 cited
    • 2007Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates70 cited
    • 2004Forecasting with Smooth Transition Autoregressive Models68 cited
    • 2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models67 cited
    • 2003An evaluation of tests of distributional forecasts66 cited
    • 2002The performance of non‐linear exchange rate models: a forecasting comparison65 cited