Theory-coherent forecasting

DOI10.1016/J.JECONOM.2014.04.014zbMATH Open1311.62162OpenAlexW2057376609MaRDI QIDQ2451809FDOQ2451809

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

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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)

Cites Work

• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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• Title not available (Why is that?)
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• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• Existence and characterization of conditional density projections
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions

Cited In (4)

• Title not available (Why is that?)
• 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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