Efficient forecast tests for conditional policy forecasts

DOI10.1016/J.JECONOM.2008.08.024MaRDI QIDQ299222zbMATH OpenOpenAlexFDO

Authors Jon Faust, Jonathan H. Wright

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.08.024

zbMATH Keywords

forecastingweak instrumentsmonetary policy

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Tests of Conditional Predictive Ability
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Cites work

• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• Choosing the Number of Instruments
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• GMM with Weak Identification
• Instrumental Variables Regression with Weak Instruments
• Judging Instrument Relevance in Instrumental Variables Estimation
• Some Comments on C P
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• The Estimation of Economic Relationships using Instrumental Variables

Cited in

(4)

• The Nordhaus test with many zeros
• A monetary real-time conditional forecast of euro area inflation
• Do German economic research institutes publish efficient growth and inflation forecasts? A Bayesian analysis
• A defense of the FOMC

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