메뉴 건너뛰기




Volumn 146, Issue 2, 2008, Pages 293-303

Efficient forecast tests for conditional policy forecasts

Author keywords

Forecasting; Monetary policy; Weak instruments

Indexed keywords

PUBLIC POLICY; QUALITY CONTROL; TESTING;

EID: 53649095747     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.024     Document Type: Article
Times cited : (32)

References (31)
  • 1
    • 0001779878 scopus 로고
    • Estimation of the parameters of a single equation in a complete system of stochastic equations
    • Anderson T.W., and Rubin H. Estimation of the parameters of a single equation in a complete system of stochastic equations. Annals of Mathematical Statistics 20 (1949) 46-63
    • (1949) Annals of Mathematical Statistics , vol.20 , pp. 46-63
    • Anderson, T.W.1    Rubin, H.2
  • 2
    • 53649089340 scopus 로고    scopus 로고
    • Andersson, Michael, Linde, Jesper, Villani, Mattias, Vredin, Anders, 2005. Modern forecasting models in action: Improving macroeconomic analyses at central banks, manuscript, Riksbank
    • Andersson, Michael, Linde, Jesper, Villani, Mattias, Vredin, Anders, 2005. Modern forecasting models in action: Improving macroeconomic analyses at central banks, manuscript, Riksbank
  • 4
    • 53649094340 scopus 로고    scopus 로고
    • Bank of England, (2005). The Bank of England Quarterly Model
    • Bank of England, (2005). The Bank of England Quarterly Model
  • 5
    • 53649083945 scopus 로고    scopus 로고
    • Bank of England, (2004). Inflation Report, August
    • Bank of England, (2004). Inflation Report, August
  • 7
    • 84981863506 scopus 로고
    • Monetary policy games and the role of private information
    • Canzoneri M.B. Monetary policy games and the role of private information. American Economic Review 75 (1985) 1056-1070
    • (1985) American Economic Review , vol.75 , pp. 1056-1070
    • Canzoneri, M.B.1
  • 8
    • 53649098812 scopus 로고    scopus 로고
    • Chernenko, Sergey V., Schwarz, Krista B., Wright, Jonathan H., 2004. The information content of forward and futures prices: Market expectations and the price of risk, 2004-808. International Finance Discussion Paper
    • Chernenko, Sergey V., Schwarz, Krista B., Wright, Jonathan H., 2004. The information content of forward and futures prices: Market expectations and the price of risk, 2004-808. International Finance Discussion Paper
  • 9
    • 21144470245 scopus 로고
    • Testing identifiability and specification in instrumental variable models
    • Cragg J.G., and Donald S.G. Testing identifiability and specification in instrumental variable models. Econometric Theory 9 (1993) 222-240
    • (1993) Econometric Theory , vol.9 , pp. 222-240
    • Cragg, J.G.1    Donald, S.G.2
  • 10
    • 0000736414 scopus 로고    scopus 로고
    • Choosing the number of instruments
    • Donald S.G., and Newey W.K. Choosing the number of instruments. Econometrica 69 (2001) 1161-1191
    • (2001) Econometrica , vol.69 , pp. 1161-1191
    • Donald, S.G.1    Newey, W.K.2
  • 11
    • 0000417969 scopus 로고    scopus 로고
    • Some impossibility theorems in econometrics with applications to structural and dynamic models
    • Dufour J.-M. Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica 65 (1997) 1365-1387
    • (1997) Econometrica , vol.65 , pp. 1365-1387
    • Dufour, J.-M.1
  • 13
  • 14
    • 53649107640 scopus 로고    scopus 로고
    • Faust, Jon, Leeper, Eric, 2005. Forecasts and inflation reports: An evaluation. Manuscript
    • Faust, Jon, Leeper, Eric, 2005. Forecasts and inflation reports: An evaluation. Manuscript
  • 16
    • 34247379925 scopus 로고    scopus 로고
    • The high frequency response of exchange rates and interest rates to macroeconomic announcements
    • Faust J., Rogers J.H., Wang S.-Y., and Wright J.H. The high frequency response of exchange rates and interest rates to macroeconomic announcements. Journal of Monetary Economics 54 (2007) 1051-1068
    • (2007) Journal of Monetary Economics , vol.54 , pp. 1051-1068
    • Faust, J.1    Rogers, J.H.2    Wang, S.-Y.3    Wright, J.H.4
  • 17
    • 14944349984 scopus 로고    scopus 로고
    • Do federal reserve policy surprises reveal superior information about the economy?
    • Article 10
    • Faust J., Swanson E.T., and Wright J.H. Do federal reserve policy surprises reveal superior information about the economy?. BEPress Contributions to Macroeconomics 4 1 (2004) Article 10
    • (2004) BEPress Contributions to Macroeconomics , vol.4 , Issue.1
    • Faust, J.1    Swanson, E.T.2    Wright, J.H.3
  • 18
    • 44949098397 scopus 로고    scopus 로고
    • The monetary policy committee's reaction function: An exercise in estimation
    • Goodhart C. The monetary policy committee's reaction function: An exercise in estimation. BEPress Topics in Macroeconomics 5(1) 18 (2005)
    • (2005) BEPress Topics in Macroeconomics , vol.5 1 , Issue.18
    • Goodhart, C.1
  • 19
    • 0039332404 scopus 로고    scopus 로고
    • Judging instrument relevance in instrumental variables estimation
    • Hall A.R., Rudebusch G.D., and Wilcox D.W. Judging instrument relevance in instrumental variables estimation. International Economic Review 37 (1996) 283-289
    • (1996) International Economic Review , vol.37 , pp. 283-289
    • Hall, A.R.1    Rudebusch, G.D.2    Wilcox, D.W.3
  • 23
    • 53649096859 scopus 로고    scopus 로고
    • Pagan, Adrian, 2003. Report on modeling and forecasting at the Bank of England, London: Bank of England
    • Pagan, Adrian, 2003. Report on modeling and forecasting at the Bank of England, London: Bank of England
  • 24
    • 0002115197 scopus 로고    scopus 로고
    • Federal reserve information and the behavior of interest rates
    • Romer C., and Romer D. Federal reserve information and the behavior of interest rates. American Economic Review 90 (2000) 429-457
    • (2000) American Economic Review , vol.90 , pp. 429-457
    • Romer, C.1    Romer, D.2
  • 25
    • 0001755034 scopus 로고
    • The estimation of economic relationships using instrumental variables
    • Sargan J.D. The estimation of economic relationships using instrumental variables. Econometrica 26 (1958) 393-415
    • (1958) Econometrica , vol.26 , pp. 393-415
    • Sargan, J.D.1
  • 26
    • 0037004228 scopus 로고    scopus 로고
    • The role of models and probabilities in the monetary policy process
    • Sims C.A. The role of models and probabilities in the monetary policy process. Brookings Papers on Economic Activity 2 (2002) 1-40
    • (2002) Brookings Papers on Economic Activity , Issue.2 , pp. 1-40
    • Sims, C.A.1
  • 27
    • 0346307687 scopus 로고    scopus 로고
    • Instrumental variables regression with weak instruments
    • Staiger D., and Stock J.H. Instrumental variables regression with weak instruments. Econometrica 65 (1997) 557-586
    • (1997) Econometrica , vol.65 , pp. 557-586
    • Staiger, D.1    Stock, J.H.2
  • 28
    • 0000328019 scopus 로고    scopus 로고
    • GMM with weak identification
    • Stock J.H., and Wright J.H. GMM with weak identification. Econometrica 68 (2000) 1055-1096
    • (2000) Econometrica , vol.68 , pp. 1055-1096
    • Stock, J.H.1    Wright, J.H.2
  • 29
    • 0036790491 scopus 로고    scopus 로고
    • A survey of weak instruments and weak identification in generalized method of moments
    • Stock J.H., Wright J.H., and Yogo M. A survey of weak instruments and weak identification in generalized method of moments. Journal of Business and Economic Statistics 20 (2002) 518-529
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 518-529
    • Stock, J.H.1    Wright, J.H.2    Yogo, M.3
  • 31
    • 53649103013 scopus 로고    scopus 로고
    • Tetlow, Robert J., Ironside, Brian, 2006. Real-time model uncertainty in the United States: The Fed from 1996-2003, FEDS Working Paper 2006-8 (March)
    • Tetlow, Robert J., Ironside, Brian, 2006. Real-time model uncertainty in the United States: The Fed from 1996-2003, FEDS Working Paper 2006-8 (March)


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.