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Measuring predictability: theory and macroeconomic applications
16 references·15 citing·41 second hop
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1985Indivisible labor and the business cycle2,011 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1967Applied Economic Forecasting1,206 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research869 cited
  • 1998Forecasting Economic Time Series863 cited
  • 1986Forecasting Economic Time Series

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714 cited

Cited by

  • 2007How far ahead can we forecast? Evidence from cross-country surveys81 cited
  • 2007Halloween or January? Yet another puzzle75 cited
  • 2007Forecasting the price of crude oil via convenience yield predictions72 cited
  • 2013Yield Curve Modeling and Forecasting66 cited
  • 2006Forecasting Economic Aggregates by Disaggregates64 cited
  • 2010Learning and heterogeneity in GDP and inflation forecasts58 cited
  • 2011Does the Box-Cox transformation help in forecasting macroeconomic time series?55 cited
  • 2001Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia45 cited
  • 2013Improving GDP Measurement: A Measurement-Error Perspective34 cited
  • 2007Adaptive signal processing of asset price dynamics with predictability analysis33 cited
  • 2018Risk-neutral moments in the crude oil market28 cited
  • 2017Perceived Inflation Persistence25 cited
  • 2009Speed of adjustment in cointegrated systems17 cited
  • 2013Improving GDP Measurement: A Measurement-Error Perspective17 cited
  • 2005The Importance of the Wording of the ECB16 cited