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Optimal forecasting of noncausal autoregressive time series

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References

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1996Asymptotic Inference about Predictive Ability1,415 cited
2008Phillips Curve Inflation Forecasts326 cited
2006Chapter 5 Predictive Density Evaluation149 cited
1999A Monte Carlo study of the forecasting performance of empirical SETAR models137 cited

Cited by

2016Identification of Mixed Causal-Noncausal Models in Finite Samples32 cited
2013Forecasting with a noncausal VAR model29 cited
2020Forecasting bubbles with mixed causal-noncausal autoregressive models28 cited
2020Mixed causal–noncausal autoregressions with exogenous regressors21 cited
2015Testing for a Unit Root in Noncausal Autoregressive Models19 cited
2016Noncausal Bayesian Vector Autoregression10 cited
2017A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations9 cited

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