Rejoinder to comments on forecasting economic and financial variables with global VARs

International Journal of Forecasting

Volumn 25, Issue 4, 2009, Pages 703-715

  Pesaran, M Hashem ^a,b   Schuermann, Til ^a,c,d   Smith, L Vanessa ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c Federal Reserve Bank of New York   (United Kingdom)

^d UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 70349948851     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.09.001     Document Type: Note

References (12)

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2. Chudik, A., Pesaran, M. H., & Tosetti, E. (2009). Weak and strong cross section dependence and estimation of large panels. CESifo Working Paper Series No. 2689
3. Dees S., di Mauro F., Pesaran M.H., and Smith L.V. Exploring the international linkages of the euro area: A global VAR analysis. Journal of Applied Econometrics 22 (2007) 1-38
4. Dees S., Holly S., Pesaran M.H., and Smith L.V. Long run macroeconomic relations in the global economy. Economics - The Open-Access, Open-Assessment E-Journal 2007-3 (2007)
5. Granger C.W.J., and Pesaran M.H. A decision theoretic approach to forecast evaluation. In: Chan W.S., Li W.K., and Tong H. (Eds). Statistics and finance: An interface (2000), Imperial College Press, London 261-278
6. Pesaran M.H. A pair-wise approach to testing for output and growth convergence. Journal of Econometrics 138 (2007) 312-355
7. Pesaran, M. H., & Pick, A. (2009). Forecast combinations across estimation windows. Memo, Cambridge University
8. Pesaran M.H., Schleicher C., and Zaffaroni P. Model averaging in risk management with an application to futures markets. Journal of Empirical Finance 16 (2009) 280-305
9. Pesaran M.H., Schuermann T., Treutler B.-J., and Weiner S.M. Macroeconomic dynamics and credit risk: A global perspective. Journal of Money Credit and Banking 38 (2006) 1211-1261
10. Pesaran M.H., Schuermann T., and Weiner S.M. Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business and Economic Statistics 22 (2004) 129-162
11. Pesaran M.H., and Skouras S. Decision-based methods for forecast evaluation. In: Clements M.P., and Hendry D.F. (Eds). A companion to economic forecasting (2002), Basil Blackwell, Oxford 241-267
12. Pesaran M.H., and Timmermann A. Selection of estimation window in the presence of breaks. Journal of Econometrics 137 (2007) 134-161