Recursive predictability tests for real-time data

Journal of Business and Economic Statistics

Volumn 23, Issue 3, 2005, Pages 336-345

  Inoue, Atsushi ^a   Rossi, Barbara ^b  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Model selection; Predictive ability; Sequential tests

Indexed keywords

EID: 22544468843     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000668     Document Type: Article

References (27)

1. Altissimo, F., and Corradi, V. (2003), "Strong Rules for Detecting the Number of Breaks in a Time Series," Journal of Econometrics, 117, 207-244.
2. Amato, J., and Swanson, N. (2001), "The Real-Time Predictive Content of Money for Output," Journal of Monetary Economics, 48, 3-24.
3. Andrews, D. W. K. (1993), "Tests for Parameter Instability and Structural Change With Unknown Change Point," Econometrica, 61, 821-856.
4. Billingsley, P. (1968), Convergence of Probability Measures, New York: Wiley.
5. _ (1995), Probability and Measure (3rd ed.), New York: Wiley.
6. Chao, J., Corradi, V., and Swanson, N. (2001), "An Out-of-Sample Test for Granger Causality," Macroeconomic Dynamics, 5, 598-620.
7. Chu, C. J., Stinchcombe, M., and White, H. (1996), "Monitoring Structural Change," Econometrica, 64, 1045-1065.
8. Clark, T., and McCracken, M. (2001), "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Journal of Econometrics, 105, 85-110.
9. _ (2003a), "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," mimeo, Federal Reserve Bank of Kansas City.
10. _ (2003b), "Forecast Accuracy and the Choice of Observation Window," mimeo, Federal Reserve Bank of Kansas City.
11. _ (2003c), "Evaluating Long-Horizon Forecasts," mimeo, Federal Reserve Bank of Kansas City.
12. _ (2003d), "The Power of Tests of Predictive Ability in the Presence of Structural Breaks," Journal of Econometrics, 124, 1-31.
13. Corradi, V., and Swanson, N. (2002), "A Consistent Test for Out-of-Sample Nonlinear Predictive Ability," Journal of Econometrics, 110, 353-381.
14. Croushore, D., and Stark, T. (2001), "A Real-Time Data Set for Macroeconomists," Journal of Econometrics, 105, 111-130.
15. Diebold, F. X., and Mariano, R. S. (1995), "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, 13, 253-263.
16. Hong, Y., and Lee, Y. (2003), "Generalized Spectral Tests for Conditional Mean Models in Time Series With Conditional Heteroskedasticity of Unknown Form," mimeo, Cornell University.
17. Inoue, A., and Kilian, L. (2004), "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?" Econometric Reviews, 23, 371-402.
18. Marcellino, M. (2002), "Instability and Non-Linearity in the EMU," mimeo, Bocconi University.
19. Rossi, B. (2004), "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," mimeo, Duke University.
20. Stock, J. H., and Watson, M. W. (1989), "Interpreting the Evidence on Money-Income Causality," Journal of Econometrics, 40, 161-182.
21. _ (1999), "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, eds. R. Engle and H. White, Oxford, U.K.: Oxford University Press, pp. 1-44.
22. Swanson, N. (1998), "Money and Output Viewed Through a Rolling Window," Journal of Monetary Economics, 41, 455-473.
23. Swanson, N., and White, H. (1997a), "Forecasting Economic Time Series Using Flexible versus Fixed Specification and Linear versus Non-Linear Econometric Models," International Journal of Forecasting, 13, 439-461.
24. _ (1997b), "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Review of Economics and Statistics, 79, 540-550.
25. Teräsvirta, T., Lin, C.-F., and Granger, C. W. J. (1993), "Power of the Neural Network Linearity Test," Journal of Time Series Analysis, 14, 209-220.
26. van der Vaart, A., and Wellner, J. A. (1996), Weak Convergence and Empirical Processes With Applications to Statistics, New York: Springer-Verlag.
27. West, K. (1996), "Asymptotic Inference About Predictive Ability," Econometrica, 64, 1067-1084.