Similar Search Results

Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - 2014

We explore the benefits of forecast combinations based on forecast- encompassing tests compared to simple averages and to Bates-Granger combinations. We also consider a new combination method that fuses test-based and Bates-Granger weighting. For a realistic simulation design, we generate...

Persistent link: https://www.econbiz.de/10010459181

Robust tests for time-invariant individual heterogeneity versus dynamic state dependence

Zincenko, Federico; Sosa Escudero, Walter; … - In: Empirical economics : a journal of the Institute for … 47 (2014) 4, pp. 1365-1387

Persistent link: https://www.econbiz.de/10010461109

How good are out of sample forecasting tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - 2014

Persistent link: https://www.econbiz.de/10010409089

Risk models-at-risk

Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92

Persistent link: https://www.econbiz.de/10010410376

Moment restriction-based econometric methods : an overview

Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - 2010

Persistent link: https://www.econbiz.de/10008760515

Forecast combination based on multiple encompassing tests in a macroeconomic DSGE-VAR system

Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - 2012

We study the benefits of forecast combinations based on forecast-encompassing tests relative to uniformly weighted forecast averages across rival models. For a realistic simulation design, we generate multivariate time-series samples of size 40 to 200 from a macroeconomic DSGE-VAR model....

Persistent link: https://www.econbiz.de/10009684032