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Economic forecasting (2007)
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Correct Errors
Monitor Changes
by Graham Elliott , Allan Timmermann
Citations:
65 - 3 self
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Citations
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Tests for forecast encompassing.”
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Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts.
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The M3-Competition: Results, conclusions and implications.
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In-sample or out-of-sample tests of predictability: Which one should we use?,
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Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis.”
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An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switches,
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Economic forecast evaluation: profits versus the conventional error measures,
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State Space Model with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications.
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Economic and Statistical Measures of Forecast Accuracy.
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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series.
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Why are Professional Forecasters Biased? Agency Versus Behavioral Explanations,
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A Real-Time Data Set for Macroeconomists: Does the Data Vintage
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Forecasting hourly electricity demand using time-varying splines”,
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On the Selection of Forecasting Models”.
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The generalized factor model: identification and estimation,”
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A.: Optimal forecast combinations under general loss functions and forecast error distributions.
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Unit-root tests are useful for selecting forecasting models,
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Evaluating Density Forecasts,
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How useful is bagging in forecasting economic time series? A case study of US consumer price inflation,”
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Blue Chip Rationality Tests.”
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Forecasting Economic Time Series. 2nd Edition
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Financial asset returns, direction-of-change forecasting, and volatility dynamics,”
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An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns”. Journal of Applied Econometrics
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Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation
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29
Efficient Tests for General Persistent Time Variation in Regression Coefficients.
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Outline of Forecast Theory Using Generalized Cost Functions,” Spanish Economic Review,
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Rationality Testing under Asymmetric Loss.
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Predictive Density and Conditional Confidence Interval Accuracy Tests.”
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Forecasting with breaks, in
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Modelling methodology and forecast failure.
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Detecting and predicting forecast breakdowns",
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Federal budget projections: A nonparametric assessment of bias and efficiency
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A Consistent Test for Out of Sample Nonlinear Predictive Ability.
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The central banker as a risk manager: Estimating the federal reserve’s preferences under greenspan.
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Foreign Exchange Rate Expectations:
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Forecasting and estimating multiple change-point models with an unknown number of change points (Tech. Rep
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Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
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Forecasting with Unobserved Components Time Series Models. Handbook of Economic Forecasting,
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Evaluating covariance matrix forecasts in a value-at-risk framework. Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco
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2001), “Fiscal Forecasting: The Track
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Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?”.
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Tests of equal predictive ability with real-time data.
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14
2005), Optimal forecast combination weights under regime switching
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The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.
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14
Forecasting pooling for short time series of macro-economic variables",
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13
Predicting Binary Outcomes
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10
Prediction with a generalized cost function
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Forecasting with generalized bayesian vector auto regressions.
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8
A New Framework for Analyzing three-dimensional Panel Data
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The real time predictive content of money for output
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Automatic model selection: A new instrument for social science
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The generalized dynamic factor model: forecasting and one sided estimation, CEPR working paper 3432
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NR (2006a). Predictive density evaluation
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Forecasting in the presence of a break
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Estimating Loss Function Parameters
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2006, Forecasting and Decision Theory. Pages 81-98
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Volatility and Correlation Forecasting. Pages 777-877
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A Guide to FRB/US.A Macroeconomic Model of the United States. Federal Reserve Board working paper
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On the Fit of New-Keynesian Models. Forthcoming in Econometric Reviews
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2006, Bayesian Forecasting. Pages 3-80
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Forecasting with Bayesian Autoregressions – Five Years of Experience
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Improved Forecasting of Mutual Fund Alphas andBetas.Mimeo,YaleUniversity
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