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Forecasting and empirical methods in finance and macroeconomics

Diebold, F. X.; West, Kenneth D. - In: Journal of Econometrics 105 (2001) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10005285420

The predictive ability of several models of exchange rate volatility

West, Kenneth D.; Cho, Dongchul - In: Journal of Econometrics 69 (1995) 2, pp. 367-391

Persistent link: https://www.econbiz.de/10005285825

Model uncertainty and policy evaluation: Some theory and empirics

Brock, William A.; Durlauf, Steven N.; West, Kenneth D. - In: Journal of Econometrics 136 (2007) 2, pp. 629-664

Persistent link: https://www.econbiz.de/10005286033

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/10005286056

Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator

West, Kenneth D. - In: Journal of Econometrics 76 (1997) 1-2, pp. 171-191

Persistent link: https://www.econbiz.de/10005192238

Encompassing tests when no model is encompassing

West, Kenneth D. - In: Journal of Econometrics 105 (2001) 1, pp. 287-308

Persistent link: https://www.econbiz.de/10005192303

Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

Clark, Todd E.; West, Kenneth D. - In: Journal of Econometrics 135 (2006) 1-2, pp. 155-186

Persistent link: https://www.econbiz.de/10005192934

Econometric analysis of present value models when the discount factor is near one

West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches one as the sample size...

Persistent link: https://www.econbiz.de/10010594955

Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons

West, Kenneth D. - In: Journal of Econometrics 33 (1986) 3, pp. 367-385

Persistent link: https://www.econbiz.de/10005228749