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Tests of equal predictive ability with real-time data

Clark, Todd E. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003783061

Tests of equal predictive ability with real-time data

Clark, Todd E. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003736427

Approximately normal tests for equal predictive accuracy in nested models

Clark, Todd E. (contributor); West, Kenneth D. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003223264

Approximately normal test for equal predictive accuracy in nested models

Clark, Todd E.; West, Kenneth D. - 2006

Persistent link: https://www.econbiz.de/10003362217

Tests of equal forecast accuracy and encompassing for nested models

Clark, Todd E.; McCracken, Michael W. - 1999

Persistent link: https://www.econbiz.de/10001440511

Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty

Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021

Persistent link: https://www.econbiz.de/10012589508

Averaging forecasts from VARs with uncertain instabilities

Clark, Todd E. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003783064

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Bayesian model comparison for time-varying parameter VARs with stochastic volatility

Chan, Joshua; Eisenstat, Eric - 2015

Persistent link: https://www.econbiz.de/10011342381

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009627354