Similar Search Results

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, Francis - National Bureau of Economic Research (NBER) - 2012

The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-)...

Persistent link: https://www.econbiz.de/10010796678

ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework

Angrist, Joshua; Fernandez-Val, Ivan - National Bureau of Economic Research (NBER) - 2010

This paper develops a covariate-based approach to the external validity of instrumental variables (IV) estimates. Assuming that differences in observed complier characteristics are what make IV estimates differ from one another and from parameters like the effect of treatment on the treated, we...

Persistent link: https://www.econbiz.de/10008756465

Real-Time Measurement of Business Conditions

Aruoba, S. Boragan; Diebold, Francis; Scotti, Chiara - National Bureau of Economic Research (NBER) - 2008

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...

Persistent link: https://www.econbiz.de/10005829556

Macroeconomics and Volatility: Data, Models, and Estimation

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F - National Bureau of Economic Research (NBER) - 2010

One basic feature of aggregate data is the presence of time-varying variance in real and nominal variables. Periods of high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more tranquil times of the great moderation from 1984 to...

Persistent link: https://www.econbiz.de/10008764672

Natural Experiment Policy Evaluation: A Critique

Hennessy, Christopher A.; Strebulaev, Ilya A. - National Bureau of Economic Research (NBER) - 2015

We argue exogenous random treatment is insufficient for valid inference regarding the sign and magnitude of causal effects in dynamic environments. In such settings, treatment responses must be understood as contingent upon the typically unmodeled policy generating process. With binary...

Persistent link: https://www.econbiz.de/10011189104

Can Oil Prices Forecast Exchange Rates?

Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10011227945

Efficient Prediction of Excess Returns

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2008

price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

Persistent link: https://www.econbiz.de/10005720382

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

West, Kenneth D.; Clark, Todd - National Bureau of Economic Research (NBER) - 2006

Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that...

Persistent link: https://www.econbiz.de/10005832264

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Clark, Todd; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2005

We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change"...

Persistent link: https://www.econbiz.de/10005779026

Measuring Uncertainty about Long-Run Prediction

Watson, Mark W.; Mueller, Ulrich - National Bureau of Economic Research (NBER) - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10010796670

1
2
3
4
5
6
7
8
9
10
Next
Last