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Forecasting the Distribution of Economic Variables in a Data-Rich Environment
16 references·7 citing·43 second hop
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References

  • 2007Strictly Proper Scoring Rules, Prediction, and Estimation5,771 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2006Journal of Applied Econometrics979 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 2005Understanding Changes in International Business Cycle Dynamics685 cited
  • 2002Has the Business Cycle Changed and Why?

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561 cited

Cited by

  • 2021Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them65 cited
  • 2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions49 cited
  • 2022TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES47 cited
  • 2016Out-of-Sample Return Predictability: A Quantile Combination Approach41 cited
  • 2015Quantile Forecast Combinations in Realised Volatility Prediction25 cited
  • 2022Modeling tail risks of inflation using unobserved component quantile regressions18 cited
  • 2021Does the Yield Curve Predict Output?15 cited