Detecting and Predicting Forecast Breakdowns

DOI10.1111/J.1467-937X.2009.00545.XMaRDI QIDQ3394001zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Barbara Rossi

Publication date 28 August 2009

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2009.00545.x

Mathematics Subject Classification ID

Trade models (91B60)

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Cited in

(18)

• Goodness-of-fit test for specification of semiparametric copula dependence models
• Asymptotic inference about predictive accuracy using high frequency data
• Predicting a recession: Evidence from the yield curve in the presence of structural breaks
• Estimating the term structure of commodity market preferences
• Does modeling a structural break improve forecast accuracy?
• Testing for structural stability of factor augmented forecasting models
• Optimal forecasts in the presence of structural breaks
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Forecasting in the presence of structural breaks and policy regime shifts
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Prewhitened long-run variance estimation robust to nonstationarity
• Forecasting Macroeconomic Variables Under Model Instability
• Testing for Changes in Forecasting Performance
• Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
• Shrinkage estimation and forecasting in dynamic regression models under structural instability
• Positive-Definite Converging Kernel Estimation of Long-Run Variance
• Understanding models' forecasting performance

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