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Forecasting economic and financial variables with global VARs
16 references·16 citing·40 second hopsampled
Forecasting economic and financial variables with global VARs (2009)Forecasting economic and financial variab…Weak and strong cross‐section dependence and estimation of large panels (2011)Weak and strong cross‐section…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Are Phillips Curves Useful for Forecasting Inflation? (2001)Are Phillips Curves Useful fo…Structural analysis of vector error correction models with exogenous I(1) variables (2000)Structural analysis of vector…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Evidence on Structural Instability in Macroeconomic Time Series Relations (1996)Evidence on Structural Instab…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Combination of Forecasts (1969)The Combination of ForecastsAssessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions (2021)Assessing the impact of COVID…A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model (2021)A counterfactual economic ana…COVID-19 outbreak, social response, and early economic effects: a global VAR analysis of cross-country interdependencies (2020)COVID-19 outbreak, social res…Modeling and Forecasting Regional Tourism Demand Using the Bayesian Global Vector Autoregressive (BGVAR) Model (2018)Modeling and Forecasting Regi…Measuring the propagation of financial distress with Granger-causality tail risk networks (2018)Measuring the propagation of …Forecasting with Global Vector Autoregressive Models: a Bayesian Approach (2016)Forecasting with Global Vecto…Capital Inflows and the U.S. Housing Boom (2015)Capital Inflows and the U.S. …After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean (2014)After the Boom–Commodity Pric…Optimal forecasts in the presence of structural breaks (2013)Optimal forecasts in the pres…CAPITAL INFLOWS, FINANCIAL STRUCTURE AND HOUSING BOOMS (2013)CAPITAL INFLOWS, FINANCIAL ST…Advances in Forecasting under Instability (2013)Advances in Forecasting under…China's Emergence in the World Economy and Business Cycles in Latin America (2012)China's Emergence in the Worl…The role of the United States in the global economy and its evolution over time (2010)The role of the United States…Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework (2010)Probabilistic forecasting of …Forecasting large datasets with Bayesian reduced rank multivariate models (2010)Forecasting large datasets wi…Forecast Combination Across Estimation Windows (2010)Forecast Combination Across E…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)Combining forecasts: A review and annotated bibliography (1989)The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2004)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Unit Roots and Cointegration in Panels (2008)Panel Vector Autoregressive Models: A Survey (2013)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The Term Structure as a Predictor of Real Economic Activity (1991)What does the yield curve tell us about GDP growth? (2005)Credit Spreads and Business Cycle Fluctuations (2012)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)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)The Information in Long-Maturity Forward Rates (1987)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 1998Forecasting Economic Time Series863 cited
  • 2000Structural analysis of vector error correction models with exogenous I(1) variables797 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 2001Are Phillips Curves Useful for Forecasting Inflation?731 cited
  • 2011Weak and strong cross‐section dependence and estimation of large panels691 cited

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1996
Evidence on Structural Instability in Macroeconomic Time Series Relations
617 cited

Cited by

  • 2013Advances in Forecasting under Instability178 cited
  • 2020COVID-19 outbreak, social response, and early economic effects: a global VAR analysis of cross-country interdependencies157 cited
  • 2021Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions154 cited
  • 2018Modeling and Forecasting Regional Tourism Demand Using the Bayesian Global Vector Autoregressive (BGVAR) Model147 cited
  • 2013CAPITAL INFLOWS, FINANCIAL STRUCTURE AND HOUSING BOOMS140 cited
  • 2013Optimal forecasts in the presence of structural breaks137 cited
  • 2010Forecast Combination Across Estimation Windows131 cited
  • 2010Forecasting large datasets with Bayesian reduced rank multivariate models109 cited
  • 2012China's Emergence in the World Economy and Business Cycles in Latin America107 cited
  • 2018Measuring the propagation of financial distress with Granger-causality tail risk networks101 cited
  • 2021A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model90 cited
  • 2016Forecasting with Global Vector Autoregressive Models: a Bayesian Approach83 cited
  • 2010The role of the United States in the global economy and its evolution over time64 cited
  • 2015Capital Inflows and the U.S. Housing Boom61 cited
  • 2010Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework58 cited
  • 2014After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean57 cited