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Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …
Persistent link: https://www.econbiz.de/10005342193
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Bagging Time Series Models
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2004
produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …
Persistent link: https://www.econbiz.de/10005124019
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Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need … in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil …
Persistent link: https://www.econbiz.de/10009643504
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What Do We Learn from the Price of Crude Oil Futures?
Alquist, Ron; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007
and easy-to-use forecasting methods such as the no-change forecast. This does not mean that there is no useful information …
Persistent link: https://www.econbiz.de/10005792183
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Measuring Predictability: Theory And Macroeconomic Applications
Diebold, Francis X; Kilian, Lutz - C.E.P.R. Discussion Papers - 2000
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or...
Persistent link: https://www.econbiz.de/10005124232
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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …
Persistent link: https://www.econbiz.de/10011604260
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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …
Persistent link: https://www.econbiz.de/10009639853
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On the Selection of Forecasting Models
Inoue, Atsushi; Kilian, Lutz - 2021
It is standard in applied work to select forecasting models by ranking candidate models by their PMSE in simulated out …
Persistent link: https://www.econbiz.de/10013320039
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Exchange Rates and Monetary Fundamentals : What Do We Learn from Long-Horizon Regressions?
Kilian, Lutz - 1998
Long-horizon regression tests are widely used in empirical finance, despite evidence of severe size distortions. This paper introduces a new bootstrap method for small-sample inference in long-horizon regressions. A Monte Carlo study shows that this bootstrap test has much smaller size...
Persistent link: https://www.econbiz.de/10014072162
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On the Selection of Forecasting Models
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean …
Persistent link: https://www.econbiz.de/10005504404