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On suboptimality of the Hodrick-Prescott filter at time series endpoints

Mise, Emi; Kim, Tae-hwan; Newbold, Paul - In: Journal of macroeconomics 27 (2005) 1, pp. 53-67

Persistent link: https://www.econbiz.de/10002647963

Ranking competing multi-step forecasts

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - 1997

Persistent link: https://www.econbiz.de/10000974745

Tests for forecast encompassing

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - 1997

Persistent link: https://www.econbiz.de/10000974765

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - 1997

Persistent link: https://www.econbiz.de/10000974766

Testing the equality of prediction mean squared errors

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: International journal of forecasting 13 (1997) 2, pp. 281-291

Persistent link: https://www.econbiz.de/10001230110

Tests for forecast encompassing

Harvey, David I. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 254-259

Persistent link: https://www.econbiz.de/10001243991

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Journal of forecasting 18 (1999) 6, pp. 435-445

Persistent link: https://www.econbiz.de/10001494029

Asymptotic Mean-Squared Forecast Error When an Autoregression with Linear Trend is Fitted to Data Generated by an I(0) or I(1) Process

Kim, Tae-Hwan; Leybourne, Stephen J.; Newbold, Paul - 2004

Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of...

Persistent link: https://www.econbiz.de/10014070645

Forecasting volatility of futures market : the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics 38 (2006) 4, pp. 395-413

Persistent link: https://www.econbiz.de/10003298646

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194