A speech at the Middle Tennessee State University, Annual Economic Outlook Conference, Murfreesboro, Tenn., Sept. 29, 2006

A speech at the Middle Tennessee State University, Annual Economic Outlook Conference, Murfreesboro, Tenn., Sept. 29, 2006

January 10, 2013. Presentation. "The Fed's New Regime and the 2013 Outlook." Wisconsin Economic Forecast Luncheon, Wisconsin Bankers Association. Madison, Wisconsin.

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi-step predictions from both non-nested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time,...

This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance tradeoff faced when choosing between either the recursive and rolling...

Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. The uncertainty inherent in any single...

2008 Annual Economic Outlook Conference, Middle Tennessee State University, Murfreesboro, Tenn., Sept. 26, 2008

This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past, developing the forecast filters and the forecast error filters explicitly, and also provide formulas for...

This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...