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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

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2013

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...

Persistent link: https://www.econbiz.de/10010969411

Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014

Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions …

Persistent link: https://www.econbiz.de/10010950792

Understanding Uncertainty Shocks and the Role of Black Swans

Veldkamp, Laura; Orlik, Anna - National Bureau of Economic Research (NBER) - 2014

parameters. When the forecasting model admits only normally-distributed outcomes, we find small, acyclical changes in uncertainty …

Persistent link: https://www.econbiz.de/10010950795

Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars

Novy-Marx, Robert - National Bureau of Economic Research (NBER) - 2012

Ferson, Sarkissian and Simin (2003) warn that persistence in expected returns generates spurious regression bias in predictive regressions of stock returns, even though stock returns are themselves only weakly autocorrelated. Despite this fact a growing literature attempts to explain the...

Persistent link: https://www.econbiz.de/10011271414

Prior Selection for Vector Autoregressions

Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012

subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10011272306

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