메뉴 건너뛰기




Volumn 21, Issue 1, 2005, Pages 212-231

Real-time econometrics

Author keywords

[No Author keywords available]

Indexed keywords


EID: 15744385032     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466605050139     Document Type: Article
Times cited : (25)

References (32)
  • 1
    • 15744398756 scopus 로고    scopus 로고
    • Model uncertainty, thick modelling and the predictability of stock returns
    • Aiolfi, M. & C. Favero (2002) Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. IGIER Working paper 221.
    • (2002) IGIER Working Paper , vol.221
    • Aiolfi, M.1    Favero, C.2
  • 4
    • 0000824401 scopus 로고    scopus 로고
    • A real-time data set for macroeconomists
    • Croushore, D. & T. Stark (2001) A real-time data set for macroeconomists. Journal of Econometrics 105, 111-130.
    • (2001) Journal of Econometrics , vol.105 , pp. 111-130
    • Croushore, D.1    Stark, T.2
  • 5
    • 0000582742 scopus 로고
    • Present position and potential developments: Some personal views - Statistical theory, the prequential approach
    • Dawid, A.P. (1984) Present position and potential developments: Some personal views - Statistical theory, the prequential approach. Journal of the Royal Statistical Society, Series A 147, 278-292.
    • (1984) Journal of the Royal Statistical Society, Series A , vol.147 , pp. 278-292
    • Dawid, A.P.1
  • 7
    • 0036721814 scopus 로고    scopus 로고
    • Keep it real! a real time UK macro data set
    • Egginton, D.M., A. Pick, & S.P. Vahey (2002) Keep it real! A real time UK macro data set. Economic Letters 77, 15-20.
    • (2002) Economic Letters , vol.77 , pp. 15-20
    • Egginton, D.M.1    Pick, A.2    Vahey, S.P.3
  • 11
    • 15744379443 scopus 로고    scopus 로고
    • A dialogue concerning a new instrument for econometric modeling
    • this issue
    • Granger, C.W.J. & D.F. Hendry (2005) A dialogue concerning a new instrument for econometric modeling. Econometric Theory (this issue).
    • (2005) Econometric Theory
    • Granger, C.W.J.1    Hendry, D.F.2
  • 13
    • 0002986274 scopus 로고    scopus 로고
    • A decision theoretic approach to forecast evaluation
    • W.S. Chan, W.K. Li, & H. Tong (eds.), Imperial College Press
    • Granger, C.W.J. & M.H. Pesaran (2000a) A decision theoretic approach to forecast evaluation. In W.S. Chan, W.K. Li, & H. Tong (eds.), Statistics and Finance: An Interface, pp. 261-278. Imperial College Press.
    • (2000) Statistics and Finance: An Interface , pp. 261-278
    • Granger, C.W.J.1    Pesaran, M.H.2
  • 14
    • 0000109477 scopus 로고    scopus 로고
    • Economic and statistical measures of forecast accuracy
    • Granger, C.W.J. & M.H. Pesaran (2000b) Economic and statistical measures of forecast accuracy. Journal of Forecasting 19, 537-560.
    • (2000) Journal of Forecasting , vol.19 , pp. 537-560
    • Granger, C.W.J.1    Pesaran, M.H.2
  • 15
    • 0345800534 scopus 로고    scopus 로고
    • New developments in automatic general-to-specific modeling
    • B.P. Stigum (ed.), Princeton University Press
    • Hendry, D.F. & H.M. Krolzig (2003) New developments in automatic general-to-specific modeling. In B.P. Stigum (ed.), Econometrics and the Philosophy of Economics. Princeton University Press.
    • (2003) Econometrics and the Philosophy of Economics
    • Hendry, D.F.1    Krolzig, H.M.2
  • 20
    • 84952504842 scopus 로고
    • Forecasting with Bayesian vector autoregressions: Five years of experience
    • Litterman, R.B. (1986) Forecasting with Bayesian vector autoregressions: Five years of experience. Journal of Business & Economic Statistics 4, 25-38.
    • (1986) Journal of Business & Economic Statistics , vol.4 , pp. 25-38
    • Litterman, R.B.1
  • 21
    • 84954220021 scopus 로고    scopus 로고
    • Decision-based methods for forecast evaluation
    • M.P. Clements and D.F. Hendry (eds.), Basil Blackwell
    • Pesaran, M.H. & S. Skouras (2002) Decision-based methods for forecast evaluation. In M.P. Clements and D.F. Hendry (eds.), A Companion to Economic Forecasting, pp. 241-267. Basil Blackwell.
    • (2002) A Companion to Economic Forecasting , pp. 241-267
    • Pesaran, M.H.1    Skouras, S.2
  • 22
    • 84993877356 scopus 로고
    • The robustness and economic significance of predictability of stock returns
    • Pesaran, M.H. & A. Timmermann (1995) The robustness and economic significance of predictability of stock returns. Journal of Finance 50, 1201-1228.
    • (1995) Journal of Finance , vol.50 , pp. 1201-1228
    • Pesaran, M.H.1    Timmermann, A.2
  • 23
    • 0033963895 scopus 로고    scopus 로고
    • A recursive modelling approach to predicting U.K. stock returns
    • Pesaran, M.H. & A. Timmermann (2000) A recursive modelling approach to predicting U.K. stock returns. Economic Journal 110, 159-191.
    • (2000) Economic Journal , vol.110 , pp. 159-191
    • Pesaran, M.H.1    Timmermann, A.2
  • 24
    • 0036888093 scopus 로고    scopus 로고
    • Market timing and return prediction under model instability
    • Pesaran, M.H. & A. Timmermann (2002) Market timing and return prediction under model instability. Journal of Empirical Finance 9, 495-510.
    • (2002) Journal of Empirical Finance , vol.9 , pp. 495-510
    • Pesaran, M.H.1    Timmermann, A.2
  • 25
    • 0012843684 scopus 로고
    • Automated forecasts of Asia-Pacific economic activity
    • Phillips, P.C.B. (1995) Automated forecasts of Asia-Pacific economic activity. Asia-Pacific Economic Review 1, 92-102.
    • (1995) Asia-Pacific Economic Review , vol.1 , pp. 92-102
    • Phillips, P.C.B.1
  • 26
    • 0030374073 scopus 로고    scopus 로고
    • Econometric model determination
    • Phillips, P.C.B. (1996) Econometric model determination. Econometrica 64, 763-812.
    • (1996) Econometrica , vol.64 , pp. 763-812
    • Phillips, P.C.B.1
  • 27
    • 0037357060 scopus 로고    scopus 로고
    • Laws and limits of econometrics
    • Phillips, P.C.B. (2003) Laws and limits of econometrics. Economic Journal 113, C26-C52.
    • (2003) Economic Journal , vol.113
    • Phillips, P.C.B.1
  • 28
    • 84939893867 scopus 로고
    • Posterior odds testing for a unit root with data-based model selection
    • Phillips, P.C.B. & W. Ploberger (1994) Posterior odds testing for a unit root with data-based model selection. Econometric Theory 10, 774-808.
    • (1994) Econometric Theory , vol.10 , pp. 774-808
    • Phillips, P.C.B.1    Ploberger, W.2
  • 31
    • 0142189475 scopus 로고    scopus 로고
    • Dangers of data-driven inference: The case of calendar effects in stock returns
    • Sullivan, R., A. Timmermann, & H. White (2001) Dangers of data-driven inference: The case of calendar effects in stock returns. Journal of Econometrics 105, 249-286.
    • (2001) Journal of Econometrics , vol.105 , pp. 249-286
    • Sullivan, R.1    Timmermann, A.2    White, H.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.