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Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
16 references·4 citing·47 second hop
Forecasting with Small Macroeconomic VARs in the Presence of Instabilities (2006)Forecasting with Small Macroeconomic VARs…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Measuring the Natural Rate of Interest (2003)Measuring the Natural Rate of…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…Forecasting inflation (1999)Forecasting inflationPostwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Macroeconomics and Reality (1980)Macroeconomics and RealityForecasting retailer product sales in the presence of structural change (2019)Forecasting retailer product …Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy (2019)Combining survey long-run for…Le paiement mobile : modèles économiques et régulation financière (2013)Le paiement mobile : modèles …Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate (2010)Combining Disaggregate Foreca…Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Generalized impulse response analysis in linear multivariate models (1998)Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Bayesian Methods for Dynamic Multivariate Models (1998)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Large Bayesian vector auto regressions (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)Volatility forecast comparison using imperfect volatility proxies (2010)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Has the Business Cycle Changed and Why? (2002)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)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)Interpreting the macroeconomic time series facts (1992)Efficient Tests for an Autoregressive Unit Root (1996)Determining the Number of Factors in Approximate Factor Models (2002)Inferential Theory for Factor Models of Large Dimensions (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)
this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1999Forecasting inflation1,273 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 2001

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Evolving Post-World War II U.S. Inflation Dynamics
914 cited

Cited by

  • 2010Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate43 cited
  • 2019Forecasting retailer product sales in the presence of structural change42 cited
  • 2019Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy41 cited
  • 2013Le paiement mobile : modèles économiques et régulation financière12 cited