Theory-coherent forecasting

DOI10.1016/J.JECONOM.2014.04.014MaRDI QIDQ2451809zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Giuseppe Ragusa

Publication date 4 June 2014

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.04.014

zbMATH Keywords

forecast evaluationdensity forecastexponential titlingsemiparametric projections

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82)

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• Forecasting in dynamic factor models subject to structural instability
• Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• I-divergence geometry of probability distributions and minimization problems
• Information and entropy econometrics -- editor's view.
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
• Prior Probabilities
• Tests of Conditional Predictive Ability

Cited in

(4)

• scientific article; zbMATH DE number 4044982 (Why is no real title available?)
• Better the devil you know: improved forecasts from imperfect models
• Maximum entropy analysis of consumption-based capital asset pricing model and volatility
• Density forecast of financial returns using decomposition and maximum entropy

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