Efficient forecast tests for conditional policy forecasts

DOI10.1016/J.JECONOM.2008.08.024zbMATH Open1429.62664OpenAlexW2151683927MaRDI QIDQ299222FDOQ299222

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

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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)

Cites Work

• Choosing the Number of Instruments
• Some Comments on C P
• Instrumental Variables Regression with Weak Instruments
• The Estimation of Economic Relationships using Instrumental Variables
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• Title not available (Why is that?)
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Judging Instrument Relevance in Instrumental Variables Estimation

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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