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A new approach for detecting shifts in forecast accuracy

Chiu, Ching Wai Jeremy; Hayes, Simon; Kapetanios, George; … - In: International journal of forecasting 35 (2019) 4, pp. 1596-1612

Persistent link: https://www.econbiz.de/10012305469

Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model

Kapetanios, George; Shin, Yongcheol - In: Econometric reviews 30 (2011) 6, pp. 620-645

Persistent link: https://www.econbiz.de/10009269801

Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10003865998

Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - In: Journal of forecasting 30 (2011) 8, pp. 736-752

Persistent link: https://www.econbiz.de/10009423355

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate …

Persistent link: https://www.econbiz.de/10003765975

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003787656

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Persistent link: https://www.econbiz.de/10003774002

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: International journal of forecasting 25 (2009) 2, pp. 400-417

Persistent link: https://www.econbiz.de/10003870070

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo (contributor); … - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10003636063

Nonlinear models for strongly dependent processes with financial applications

Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71

Persistent link: https://www.econbiz.de/10003783785