The comparative forecast performance of univariate and multivariate models: An application to real interest rate forecasting

International Journal of Forecasting

Volumn 14, Issue 4, 1998, Pages 457-468

  Bidarkota, Prasad V ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

ARIMA models; Cointegration; Forecast evaluation; Kalman filtering; Unobserved components models

Indexed keywords

EID: 0001242913     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(98)00036-3     Document Type: Article

References (26)

1. Baillie R.T., Chung C.F., Tieslau M.A. Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics. 11:1996;23-40.
2. Bidarkota, P.V., McCulloch, J.H. Optimal univariate inflation forecasting with symmetric stable shocks. Journal of Applied Econometrics (forthcoming).
3. Brunner A.D., Hess G. Are higher levels of inflation less predictable? a state-dependent conditional heteroskedasticity approach. Journal of Business and Economics Statistics. 11(2):1993;187-197.
4. Clements, M.P., Hendry, D.F., 1993. Towards a theory of economic forecasting. Journal of Forecasting.
5. Cosimano T.F., Jansen D.W. Estimates of the variance of U.S. inflation based upon the ARCH model. Journal of Money, Credit and Banking. 20(3):1988;409-421.
6. Engle R.F. Estimates of the variance of U.S. inflation based upon the ARCH model. Journal of Money, Credit and Banking. 15(3):1983;286-301.
7. Evans M., Wachtel P. Inflation regimes and the sources of inflation uncertainty. Journal of Money, Credit and Banking. 25(3):1993;475-520.
8. Fama E.F. Short-term interest rates as predictors of inflation. The American Economic Review. 5(3):1975;269-282.
9. Hamilton J.D. Rational-expectations econometric analysis of changes in regime. Journal of Economic Dynamics and Control. 12:1988;385-423.
10. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica. 47(2):1989;357-384.
11. Hamilton, J.D., 1994. Time Series Analysis. Princeton University Press, Princeton, NJ.
12. Hansen L.P., Sargent T.J. Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control. 2:1980;7-46.
13. Harvey, A.C. 1992. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge, UK.
14. Kim C.J. Unobserved component time series models with Markov-switching heteroskedasticity: Changes in regime and the link between inflation rates and inflation uncertainty. Journal of Business and Economic Statistics. 11(3):1993;341-349.
15. Kitagawa G. Non-Gaussian state-Space modeling of nonstationary time series. Journal of The American Statistical Association. 82(400):1987;1032-1063.
16. Lutkepohl H. Linear transformations of vector ARMA processes. Journal of Econometrics. 26:1984;283-293.
17. Lutkepohl H. Forecasting contemporaneously aggregated vector ARMA processes. Journal of Business and Economic Statistics. 2(3):1984;201-214.
18. Lutkepohl H. The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions. Economics Letters. 17:1985;103-106.
19. Lutkepohl H. Comparison of predictors for temporally and contemporaneously aggregated time series. International Journal of Forecasting. 2:1986;461-475.
20. Mills T.C., Stephenson M.J. Forecasting contemporaneous aggregates and the combination of forecasts: the case of the U.K. monetary aggregates. Journal of Forecasting. 4:1985;273-281.
21. Mishkin F.S. The real interest rate: an empirical investigation. Carnegie-Rochester Conference Series on Public Policy. 15:1981;151-200.
22. Mishkin F.S. Is the Fisher effect for real? Journal of Monetary Economics. 30:1992;195-215.
23. Nelson, C.R. 1975. Rational expectations and the predictive efficiency of economic models. The Journal of Business, 331-343.
24. Rose D.E. Forecasting aggregates of independent ARIMA processes. Journal of Econometrics. 5:1977;323-345.
25. Sargent T.J. A note on maximum likelihood estimation of the rational expectations model of the term structure. Journal of Monetary Economics. 5:1979;133-143.
26. White H. Maximum likelihood estimation of misspecified models. Econometrica. 50(1):1982;1-25.