Evaluating Conditional Forecasts from Vector Autoregressions
Year of publication: |
2014-09-01
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Authors: | Clark, Todd E. ; McCracken, Michael W. |
Institutions: | Federal Reserve Bank of St. Louis |
Subject: | Prediction | forecastingf out-of-sample |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Working Papers Number 2014-25 51 pages |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
-
Evaluating Conditional Forecasts from Vector Autoregressions
Clark, Todd, (2014)
-
Nested forecast model comparisons: A new approach to testing equal accuracy
Clark, Todd E., (2015)
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Tests of conditional predictive ability : some simulation evidence
McCracken, Michael W., (2019)
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Tests of equal forecast accuracy for overlapping models
Clark, Todd E., (2011)
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Advances in forecast evaluation
Clark, Todd E., (2011)
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Reality checks and nested forecast model comparisons
Clark, Todd E., (2010)
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