Predictive ability with cointegrated variables
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Cites work
- A Bayesian approach to dynamic macroeconomics
- A maximal inequality and dependent strong laws
- A Reality Check for Data Snooping
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic Inference about Predictive Ability
- Asymptotic Normality, When Regressors Have a Unit Root
- Asymptotics for out of sample tests of Granger causality
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bayesian econometrics and forecasting. (With comments)
- Bayesian model selection and prediction with empirical applications
- Distribution function inequalities for martingales
- Error Bands for Impulse Responses
- Five alternative methods of estimating long-run equilibrium relationships
- Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
- Forecasting turning points in countries' output growth rates: A response to Milton Friedman
- Forecasting with difference-stationary and trend-stationary models
- scientific article; zbMATH DE number 88842 (Why is no real title available?)
- Modelling Nonlinear Relationships between Extended-Memory Variables
- On strong invariance principles under dependence assumptions
- Out-of-sample tests for Granger causality
- Pitfalls in testing for long run relationships
- Prediction with a Generalized Cost of Error Function
- Predictive ability with cointegrated variables
- Robust out-of-sample inference
- Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
- Tests of equal forecast accuracy and encompassing for nested models
- The Stationary Bootstrap
Cited in
(17)- Statistical tests for multiple forecast comparison
- A note on forecasting in co-integrated systems
- Robust out-of-sample inference
- A consistent test for nonlinear out of sample predictive accuracy.
- Interval forecasting in cointegrated systems
- On the selection of forecasting models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Consistent ranking of volatility models
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Asymptotics for out of sample tests of Granger causality
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Do long-run theory restrictions help in forecasting?
- Evaluating Direct Multistep Forecasts
- Tests of equal forecast accuracy and encompassing for nested models
- Predictive ability with cointegrated variables
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Bootstrapping out-of-sample predictability tests with real-time data
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