Forecasting in the presence of large shocks

DOI10.1016/0165-1889(96)00911-6MaRDI QIDQ671541zbMATH OpenOpenAlexFDO

Authors Robert F. Phillips

Publication date 27 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(96)00911-6

zbMATH Keywords

EM algorithmForecast intervalsOutliersParametric bootstrap

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3426744 (Why is no real title available?)
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• A Model for Quadratic Outliers in Linear Regression
• A constrained maximum-likelihood approach to estimating switching regressions
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extensions of estimation methods using the EM algorithm
• Intervention Analysis with Applications to Economic and Environmental Problems
• Mixture Models, Outliers, and the EM Algorithm
• On the convergence properties of the EM algorithm
• Partially adaptive estimation via a normal mixture
• Robust Estimation of Straight Line Regression Coefficients by Minimizing pth Power Deviations
• Structural change and unit root econometrics
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Two Robust Alternatives to Least-Squares Regression
• Uniform Convergence in Probability and Stochastic Equicontinuity

Cited in

(7)

• Forecasting in the presence of structural breaks and policy regime shifts
• Partially adaptive estimation of autoregressive processes via a normal mixture
• Forecasting power-transformed time series data
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• Partially adaptive estimation of nonlinear models via a normal mixture
• Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
• Forecasting volatility in GARCH models with additive outliers

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