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Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Persistent link: https://www.econbiz.de/10010464770

A vector error-correction forecasting model of the US economy

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - In: Journal of macroeconomics 24 (2002) 4, pp. 569-598

Persistent link: https://www.econbiz.de/10001729047

Comments on: "A vector error-correction forecasting model of the US economy"

Swanson, Norman R. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729049

Comments on: "A vector error-correction forecasting model of the US economy"

Lastrapes, William Dean - In: Journal of macroeconomics 24 (2002) 4, pp. 607-611

Persistent link: https://www.econbiz.de/10001729050

Reply to the comments on: "A vector error-correction forecasting model of the US economy"

Anderson, Richard G.; Hoffman, Dennis L.; Rasche, Robert H. - In: Journal of macroeconomics 24 (2002) 4, pp. 599-606

Persistent link: https://www.econbiz.de/10001729052

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2016

Persistent link: https://www.econbiz.de/10011573274

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadim, Sepideh; Narayan, Kumar Paresh; Nielsen, … - 2018

Persistent link: https://www.econbiz.de/10011946486

Economic Signiﬁcance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model

Dolatabadi, Sepideh - 2017

We model and forecast commodity spot and futures prices using fractionally cointegrated vector autoregressive (FCVAR) models generalizing the well-known (non-fractional) CVAR model to accommodate fractional integration. In our empirical analysis to daily data on 17 commodity markets, the...

Persistent link: https://www.econbiz.de/10012946781