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Approximately normal tests for equal predictive accuracy in nested models

Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 138 (2007) 1, pp. 291-311

Persistent link: https://www.econbiz.de/10003451762

Economic theory and forecasting : lessons from the literature

Giacomini, Raffaella - 2014

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into … the question by drawing lessons from the literature. The definition of "economic theory" includes a broad range of … examples of theory-based forecasting that have not proven useful, such as theory-driven variable selection and some popular …

Persistent link: https://www.econbiz.de/10010407425

How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?

Carriero, Andrea; Giacomini, Raffaella - In: Journal of econometrics 164 (2011) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10009270416

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E.; McCracken, Michael W. - 2007

Persistent link: https://www.econbiz.de/10003827262

Combining forecasts from nested models

Clark, Todd E.; McCracken, Michael W. - 2007

Persistent link: https://www.econbiz.de/10003827266

Tests of equal forecast accuracy and encompassing for nested models

Clark, Todd E.; McCracken, Michael W. - In: Journal of econometrics 105 (2001) 1, pp. 85-110

Persistent link: https://www.econbiz.de/10001617146

Aggregation of space-time processes

Giacomini, Raffaella; Granger, C. W. J. - In: Journal of econometrics 118 (2004) 1/2, pp. 7-26

Persistent link: https://www.econbiz.de/10001822910

Theory-coherent forecasting

Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of econometrics 182 (2014) 1, pp. 145-155

Persistent link: https://www.econbiz.de/10010497096

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10010190487