Advances in forecasting under instability

Handbook of Economic Forecasting

Volumn 2, Issue , 2013, Pages 1203-1324

  Rossi, Barbara ^a  

^a BARCELONA GRADUATE SCHOOL OF ECONOMICS   (Spain)

Author keywords

Forecasting; In sample fit; Instabilities; Structural breaks; Time varying parameters

Indexed keywords

EID: 84881604177     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/B978-0-444-62731-5.00021-X     Document Type: Chapter

References (206)

1. Agnew R.A. Econometric forecasting via discounted least squares. Naval Research Logistics Quarterly 1982, 29(2):291-302.
2. Aiolfi, M., Timmermann, A., 2004. Structural Breaks and the Performance of Forecast Combinations. Mimeo UCSD.
3. Aiolfi M., Timmermann A. Persistence of forecasting performance and conditional combination strategies. Journal of Econometrics 2006, 135(1-2):31-53.
4. Aiolfi, M., Capistran, C., Timmermann, A., 2010. Forecast Combinations. Mimeo, UCSD.
5. Altavilla, C., Ciccarelli, M., 2007. Information combination and forecastability. Evidence From Vintages of Time-series Data, European Central Bank Working Paper Series 846.
6. Amato R., Swanson N.R. Money and output viewed through a rolling window. Journal of Monetary Economics 1998, 41:455-474.
7. Amisano G., Giacomini R. Comparing density forecasts via weighted likelihood ratio tests. Journal of Business and Economic Statistics 2007, 25:177-190.
8. Andersen T., Bollerslev T., Christoffersen P., Diebold F. Volatility and correlation forecating. Handbook of Economic Forecasting 2006, vol. 1. Elsevier, North Holland.
9. Andreou E., Ghysels E., Kourtellos A. Regression models with mixed sampling frequencies. Journal of Econometrics 2010, 158:246-261.
10. Andrews D.W. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 1991, 59:817-858.
11. Andrews D.W. Tests for parameter instability and structural change with unknown change point. Econometrica 1993, 61(4):821-856.
12. Andrews D.W., Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 1994, 62:1383-1414.
13. Ang, A., Bekaert, G., 2004. Stock Return Predictability: Is it There? Mimeo, Columbia University and NBER.
14. Bacchetta, P., van Wincoop, E., 2009. On the unstable relationship between exchange rates and macroeconomic fundamentals. NBER Working Papers 15008.
15. Bache I.W., Jore A.S., Mitchell J., Vahey S.P. Combining VAR and DSGE forecast densities. Journal of Economic Dynamics and Control 2011, 35:1659-1670.
16. Bai J. Estimation of a change point in multiple regression models. Review of Economics and Statistics 1997, 79(4):551-563.
17. Bai J., Perron P. Estimating and testing linear models with multiple structural changes. Econometrica 1998, 66(1):47-78.
18. Banbura, M., Giannone, D., Reichlin, L., forthcoming. Nowcasting. In: Clements, M.P., Hendry, D.F., (Eds.), Oxford Handbook on Economic Forecasting.
19. Bates J.M., Granger C.W.J. The combination of forecasts. Operations Research Quarterly 1969, 20:451-468.
20. Bauwens, L., Korobilis, D., Rombouts, J.V.K., 2011. A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models. Mimeo, available at: http://neumann.hec.ca/pages/jeroen.rombouts/research/bkkr4.pdf.
21. Beckmann J., Belke A., Kuhl M. The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach. Review of World Economics 2011, 147(1):11-40.
22. Bekaert G., Hodrick R.J. Characterizing predictable components in excess returns in equity and foreign exchange markets. Journal of Finance 1992, 47:467-509.
23. Billio, M., Casarin, R., Ravazzolo, F.F., van Dijk, H.K., 2011. Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data. Mimeo, Norges Bank.
24. Blume M.E. Betas and their regression tendencies. Journal of Finance 1975, 30:785-795.
25. Boivin J., Giannoni M. Has monetary policy become more effective?. Review of Economics and Statistics 2006, 88(3):445-462.
26. Bordo M.D., Haubrich J.G. The yield curve as a predictor of growth: long-run evidence, 1875-1997. Review of Economics and Statistics 2008, 90(1):182-185.
27. Bossaerts P., Hillion P.P. Implementing statistical criteria to select return forecasting models: what do we learn?. Review of Financial Studies 1999, 12:405-428.
28. Brown R.G. Smoothing, Forecasting and Prediction 1963, Prentice Hall, Englewood Cliffs.
29. Brown R.L., Durbin J., Evans J.M. Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society Series B 1975, 37:149-192.
30. Busetti, F., Marcucci, J., Veronese, G., 2011. Comparing Forecast Accuracy: A Monte Carlo Investigation. Mimeo, Bank of Italy.
31. Calhoun, G., 2011. Out-of-Sample Comparison of Overfit Models. Mimeo, Iowa State University.
32. Calhoun, G., Elliott, G., 2012. Why do Nonlinear Models Provide Poor Macroeconomic Forecasts? Mimeo, UCSD.
33. Campbell J.Y. Stock returns and the term structure. Journal of Financial Economics 1987, 18:373-399.
34. Campbell J.Y., Shiller R.J. Stock prices, earnings, and expected dividends. Journal of Finance 1988, 43:661-676.
35. Canova F. Modelling and forecasting exchange rates with a bayesian time-varying coefficient model. Journal of Economic Dynamics and Control 1993, 17(1-2):233-261.
36. Canova F. G-7 Inflation forecasts: random walk, phillips curve, or what else?. Macroeconomic Dynamics 2007, 11(01):1-30.
37. Carriero, A., Clark, T., Marcellino, M., 2012. Common drifting volatility in large Bayesian VARs, CEPR Discussion Paper 8894.
38. Carstensen, K., Wohlrabe, K., Ziegler, C., 2010. Predictive ability of business cycle indicators under test: a case study for the euro area industrial production. CESIFO Working Paper No. 3158.
39. Castelnuovo, E., Greco, L., Raggi, D., 2008. Estimating regime-switching Taylor rules with trend inflation, Bank of Finland Research Discussion Papers 20/2008.
40. Castle J., Fawcett N.W.P., Hendry D.F. Forecasting breaks and forecasting during breaks. Oxford Handbook of Economic Forecasting 2012, 15-354. Oxford University Press. M.P. Clements, D.F. Hendry (Eds.).
41. Chen Y., Rogoff K., Rossi B. Can exchange rates forecast commodity prices?. Quarterly Journal of Economics 2010, 125(3):1145-1194.
42. Clark T.E. Real-time density forecasts from bayesian vector autoregressions with stochastic volatility. Journal of Business and Economic Statistics 2011, 29(3):327-341.
43. Clark T.E., McCracken M.W. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 2001, 105(1):85-110.
44. Clark T.E., McCracken M.W. The power of tests of predictive ability in the presence of structural breaks. Journal of Econometrics 2005, 124:1-31.
45. Clark T.E., McCracken M.W. Forecasting with small macroeconomic VARs in the presence of instability. Forecasting in the Presence of Structural Breaks and Model Uncertainty 2008, 93-147. Emerald Group Publishing, Bingley, UK. D.E. Rapach, M.E. Wohar (Eds.).
46. Clark T.E., McCracken M.W. Improving forecast accuracy by combining recursive and rolling forecasts. International Economic Review 2009, 50(2):363-395.
47. Clark T.E., McCracken M.W. Averaging forecasts from vars with uncertain instabilities. Journal of Applied Econometrics 2010, 25(1):5-29.
48. Clark T.E., West K.D. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. Journal of Econometrics 2006, 135:155-186.
49. Clark T.E., West K.D. Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 2007, 138:291-311.
50. Clemen R.T., Winkler R.L. Combining economic forecasts. Journal of Business and Economic Statistics 1986, 4:39-46.
51. Clements M.P., Hendry D.F. On the limitations of comparing mean square forecast errors. Journal of Forecasting 1993, 12:617-637.
52. Clements M.P., Hendry D.F. Intercept corrections and structural change. Journal of Applied Econometrics 1996, 11:475-494.
53. Clements M.P., Hendry D.F. Forecasting Economic Time Series 1998, Cambridge University Press, Cambridge.
54. Clements, M.P., Hendry, D.F. 1999. Some Methodological Implications of Forecast Failure. Mimeo, Warwick University and Nuffield College.
55. Clements M.P., Hendry D.F. Explaining forecast failure in macroeconomics. A Companion to Economic Forecasting 2002, 539-571. Blackwells, Oxford. M.P. Clements, D.F. Hendry (Eds.).
56. Clements M.P., Hendry D.F. Forecasting with breaks in data processes. Handbook of Economic Forecasting 2006, vol. 1:605-657. Elsevier.
57. Clements M.P., Franses P.H., Swanson N.R. Forecasting economic and financial time-series with non-linear models. International Journal of Forecasting 2004, 20:169-183.
58. Cogley T. A simple adaptive measure of core inflation. Journal of Money, Credit and Banking 2002, 34:94-113.
59. Cogley T., Sargent T. Evolving post-world war II US inflation dynamics. NBER Macroeconomics Annual 2001, MIT Press, Cambridge, MA. B. Bernanke, K. Rogoff (Eds.).
60. Cogley T., Sargent T. Drifts and volatilities: monetary policies and outcomes in the post world war II US. Review of Economic Dynamics 2005, 8:262-302.
61. Cogley T., Sbordone A. Trend inflation, indexation, and inflation persistence in the new keynesian phillips curve. American Economic Review 2008, 98:2101-2126.
62. Cooper M., Gutierrez R.C., Marcum W. On the predictability of stock returns in real time. Journal of Business 2005, 78(2):469-499.
63. Corradi V., Swanson N.R. Bootstrap conditional distribution tests in the presence of dynamic mis-specification. Journal of Econometrics 2006, 133:779-806.
64. Corradi V., Swanson N.R. Predictive density evaluation. Handbook of Economic Forecasting 2006, 197-284. Elsevier. G. Elliott, C. Granger, A. Timmermann (Eds.).
65. Corradi, V., Swanson, N.R., 2010. Testing for Index Model Stability and Forecast Failure. Mimeo, University of Warwick.
66. Croushore, D., 2011. Two Dimensions of Forecast Evaluation: Vintages and Sub-samples. Mimeo, University of Richmond.
67. Croushore D., Stark T. A real-time data set for macroeconomists. Journal of Econometrics 2001, 105(1):111-130.
68. D'Agostino A., Surico P. A century of inflation forecasts. Review of Economics and Statistics 2012, 94(4):1097-1106.
69. D'Agostino, A., Giannone, D., Surico, P., 2008. (Un)Predictability and macroeconomic stability, CEPR Discussion Paper, No. DP6594.
70. D'Agostino, A., Gambetti, L., Giannone, D., 2009. Macroeconomic Forecasting and Structural Change. Mimeo, European Central Bank.
71. Díaz, J., Leyva, G., 2008. Forecasting chilean inflation in difficult times. Central Bank of Chile Working Papers 511.
72. Diebold F.X., Lopez J. Forecast evaluation and combination. Handbook of Statistics 1996, 241-268. North-Holland. G.S. Maddala, C.R. Rao (Eds.).
73. Diebold F.X., Mariano R.S. Comparing predictive accuracy. Journal of Business and Economic Statistics 1995, 13:253-263.
74. Diebold F.X., Pauly P. Structural change and the combination of forecasts. Journal of Forecasting 1987, 6:21-40.
75. Diebold F.X., Gunther T.A., Tay A.S. Evaluating density forecasts with applications to financial risk management. International Economic Review 1998, 39(4):863-883.
76. Diks C., Panchenkob V., van Dijk D. Likelihood-based scoring rules for comparing density forecasts in tails. Journal of Econometrics 2011, 163:215-230.
77. Doornik J.A. Encompassing and automatic model selection. Oxford Bulletin of Economics and Statistics 2008, 70:915-925.
78. Edge R.M., Gürkaynak R.S. How useful are estimated DSGE model forecasts for central bankers? CEPR Discussion Papers 8158. Brooking Papers on Economic Activity 2010, 41(2):209-259.
79. Eklund J., Karlsson S. Forecast combination and model averaging using predictive measures. Econometric Reviews 2005, 26(2-4):329-363.
80. Elliott G. Forecasting with trending data. Handbook of Economic Forecasting 2009, vol. 1. Elsevier, North Holland.
81. Elliott G., Muller U. Efficient tests for general persistent time variation in regression coefficients. Review of Economic Studies 2006, 73:907-940.
82. Elliott G., Muller U. Confidence sets for the date of a single break in linear time series regressions. Journal of Econometrics 2007, 141:1196-1218.
83. Elliott G., Timmermann A. Optimal forecast combination under regime switching. International Economic Review 2005, 1081-1102.
84. Engle R.F., Smith A.D. Stochastic permanent breaks. Review of Economics and Statistics 1999, 81:553-574.
85. Fama E.F., French K.R. Dividend yields and expected stock returns. Journal of Financial Economics 1988, 22:3-25.
86. Fama E., French K.R. Industry cost of equity. Journal of Financial Economics 1997, 43:153-193.
87. Faust J., Wright J. Comparing greenbook and reduced form forecasts using a large realtime dataset. Journal of Business and Economic Statistics 2009, 27:468-479.
88. Faust J., Wright J. Forecasting inflation. Handbook of Economic Forecasting 2013, vol. 2. Elsevier, North Holland.
89. Ferraro, D., Rogoff, K., Rossi, B., 2011. Can oil prices forecast exchange rates? Federal Reserve Bank of Philadelphia Working Paper 11-34.
90. Galvão A.B. Structural break threshold vars for predicting the probability of US recessions using the spread. Journal of Applied Econometrics 2006, 21:463-487.
91. Galvão, A.B., 2011. Changes in Predictive Ability with Mixed Frequency Data. Mimeo, Queen Mary University of London.
92. Garratt A., Koop G., Vahey S.P. Forecasting substantial data revisions in the presence of model uncertainty. Economic Journal 2008, 118(530):1128-1144.
93. Geweke J., Amisano G. Optimal prediction pools. Journal of Econometrics 2007, 164(1):130-141.
94. Giacomini R., Rossi B. How stable is the forecasting performance of the yield curve for output growth?. Oxford Bulletin of Economics and Statistics 2006, 68(s1):783-795.
95. Giacomini R., Rossi B. Detecting and predicting forecast breakdowns. Review of Economic Studies 2009, 76(2).
96. Giacomini R., Rossi B. Forecast comparisons in unstable environments. Journal of Applied Econometrics 2010, 25(4):595-620.
97. Giacomini, R., Rossi, B., 2010b. Model Comparisons in Unstable Environments. Mimeo.
98. Giacomini R., White H. Tests of conditional predictive ability. Econometrica 2006, 74:1545-1578.
99. Gonzales, A., Hubrich, K., Terasvirta, T., 2011. Forecasting inflation with gradual regime shifts and exogenous information, European Central BankWorking Paper, No. 1363.
100. Gonzalo, J., Pitarakis, J., 2010. Regime specific predictability in predictive regressions. Universidad Carlos III Working Papers we097844.
101. Goyal A., Welch I. Predicting the equity premium with dividend ratios. Management Science 2003, 49:639-654.
102. Goyal A., Welch I. A Comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies 2008, 21(4):1455-1508.
103. Granger C.W.J., Newbold P. Some comments on the evaluation of economic forecasts. Applied Economics 1973, 5:35-47.
104. Granger C.W.J., Newbold P. Forecasting Economic Time Series 1986, Academic Press, New York. second ed.
105. Groen, J.J., Paap, R., Ravazzolo, F., 2009. Real-time inflation forecasting in a changing world. Norges Bank Working Paper 2009/16.
106. Guidolin M., Timmermann A. Asset allocation under multivariate regime switching. Journal of Economic Dynamics and Control 2007, 31:3503-3544.
107. Hall S.G., Mitchell J. Combining density forecasts. International Journal of Forecasting 2007, 23(1):1-13.
108. Hamilton J. Rational Expectations Econometric analysis of changes in regime. Journal of Economic Dynamics and Control 1988, 12(2-3):385-413.
109. Hansen B. Testing for structural change in conditional models. Journal of Econometrics 2000, 97:93-115.
110. Hansen, P.R., 2009. In-Sample Fit and Out-of-Sample Fit: Their Joint Distribution and Its Implications for Model Selection. Mimeo.
111. Hansen, P.R., Timmermann, A., 2012. Choice of Sample Split in Out-of-Sample Forecast Evaluation. CREATES Working Paper. 2012-43, University of Aarhus.
112. Harvey A. Forecasting, Structural Time Series Models and the Kalman Filter 1989, Cambridge University Press, Cambridge.
113. Harvey D.I., Leybourne S.J., Newbold P. Tests for forecast encompassing. Journal of Business and Economic Statistics 1998, 16(2):254-259.
114. Hayashi F. Econometrics 2000, Princeton University Press, Princeton.
115. Hendry D.F. On detectable and non-detectable structural change. Structural Change and Economic Dynamics 2000, 11:45-65.
116. Hendry D.F., Clements M.P. Pooling of forecasts. Econometrics Journal 2004, 7(1):1-31.
117. Hendry D.F., Hubrich K. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate. Journal of Business and Economic Statistics 2011, 29(2):216-227.
118. Hendry D.F., Krolzig H.M. The properties of automatic gets modelling. Economic Journal 2005, 115:C32-C61.
119. Henkel S., Martin J.S., Nardari F. Time-varying short-horizon predictability. Journal of Financial Economics 2011, 99(3).
120. Holt, C.C., 1957. Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages. ONR Research Memorandum 52. Carnegie Institute of Technology.
121. Inoue A., Kilian L. In-Sample or out-of-sample tests of predictability: which one should we use?. Econometric Reviews 2004, 23(4):371-402.
122. Inoue A., Kilian L. On the selection of forecasting models. Journal of Econometrics 2006, 130(2):273-306.
123. Inoue A., Rossi B. Identifying the sources of instabilities in macroeconomic fluctuations. Review of Economics and Statistics 2011.
124. Inoue A., Rossi B. Out of sample forecast tests robust to the window size choice. Journal of Business and Economic Statistics 2012, 30(3):432-453.
125. Jore A.S., Mitchell J., Vahey S.P. Combining forecast densities from vars with uncertain instabilities. Journal of Applied Econometrics 2010, 25(4):621-634.
126. Kang H. Unstable weights in the combination of forecasts. Management Science 1986, 32:683-695.
127. Kascha C., Ravazzolo F. Combining inflation density forecasts. Journal of Forecasting 2010, 29(1-2):231-250.
128. Koop, G., Korobilis, D., 2009. Forecasting inflation using dynamic model averaging. Rimini Centre for Economic Analysis Working Paper 3409.
129. Koop, G., Korobilis., 2012. Large Time-Varying Parameter VARs. Mimeo, University of Glasgow.
130. Koop G., Potter S.M. Forecasting in large macroeconomic panels using bayesian model averaging. Econometrics Journal 2004, 7:550-565.
131. Koop G., Potter S.M. Estimation and forecasting in models with multiple breaks. Review of Economic Studies 2007, 74:763-789.
132. Koop G., Potter S.M., Strachan R.W. Re-examining the consumption-wealth relationship: the role of model uncertainty. Journal of Money Credit and Banking 2008, 40(2-3):341-367.
133. Kozicki S., Tinsley P.A. Shifting endpoints in the term structure of interest rates. Journal of Monetary Economics 2001, 47:613-652.
134. Manzana, S., Zerom, D., 2009. Are Macroeconomic Variables Useful for Forecasting the Distribution of US Inflation? Mimeo, Baruch College.
135. Marcellino M. Leading indicators. Handbook of Economic Forecasting 2006, Elsevier, Amsterdam, (Chapter 16). G. Elliot, C.W.J. Granger, A. Timmermann (Eds.).
136. Marquering W., Verbeek M. The economic value of predicting stock index returns and volatility. Journal of Financial and Quantitative Analysis 2004, 39:407-429.
137. Mazzi, G.L., Mitchell, J., Montana, G., 2010. Density Nowcasts and Model Combination: Nowcasting Euro-area GDP Growth Over the 2008-9 Recession. Mimeo.
138. McConnell M., Perez-Quiros G. Output fluctuations in the united states: what has changed since the early 1980s?. American Economic Review 2000, 90:1464-1476.
139. McCracken M.W. Asymptotics for out-of-sample tests of Granger causality. Journal of Econometrics 2007, 140:719-752.
140. Meese R., Rogoff K.S. Exchange rate models of the seventies. Do they fit out of sample?. Journal of International Economics 1983, 14:3-24.
141. Meese R., Rogoff K.S. The out of sample failure of empirical exchange rate models. Exchange Rates and International Macroeconomics 1983, University of Chicago Press for NBER, Chicago. J. Frankel (Ed.).
142. Meese R., Rogoff K.S. Was it real? the exchange rate-interest differential relation over the modern floating rate period. Journal of Finance 1988, 43(1988):923-948.
143. Min C., Zellner A. Bayesian and non-bayesian methods for combining models and forecasts with applications to forecasting international growth rates. Journal of Econometrics 1993, 56:89-118.
144. Mincer J., Zarnowitz V. The evaluation of economic forecasts. Economic Forecasts and Expectations 1969, 81-111. National Bureau of Economic Research, New York. J. Mincer (Ed.).
145. Newey W., West K. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
146. Nyblom J. Testing for the constancy of parameters over time. Journal of the American Statistical Association 1989, 84:223-230.
147. Palm F.C., Zellner A. To combine or not to combine? issues of combining forecasts. Journal of Forecasting 1992, 11:687-701.
148. Patton A., Timmermann A. Forecast rationality tests based on multi-horizon bounds. Journal of Business and Economic Statistics 2012, 30(1):1-17.
149. Paye B., Timmermann A. Instability of return prediction models. Journal of Empirical Finance 2006, 13(3):274-315.
150. Paye, B.S., Vol, D., in press. Predictive regressions for aggregate stock market volatility using macroeconomic variables. Journal of Financial Economics.
151. Perez-Quiros G., Timmermann A. Firm size and cyclical variations in stock returns. Journal of Finance 2000, 55:1229-1262.
152. Pesaran, H., Pick, A., Pranovich, M. in press. Optimal forecasts in the presence of structural breaks. Journal of Econometrics.
153. Pesaran M.H., Pick A. Forecast combination across estimation windows. Journal of Business and Economic Statistics 2011, 29(2):307-318.
154. Pesaran M.H., Timmermann A. Predictability of stock returns: robustness and economic significance. Journal of Finance 1995, 50:1201-1228.
155. Pesaran M.H., Timmermann A. Market timing and return prediction under model instability. Journal of Empirical Finance 2002, 9(5):495-510.
156. Pesaran M.H., Timmermann A. Small sample properties of forecasts from autoregressive models under structural breaks. Journal of Econometrics 2005, 129:183-217.
157. Pesaran M.H., Timmermann A. Selection of estimation window in the presence of breaks. Journal of Econometrics 2007, 137(1):134-161.
158. Pesaran M.H., Pettenuzzo D., Timmermann A. Forecasting time series subject to multiple structural breaks. Review of Economic Studies 2006, 73:1057-1084.
159. Pesaran M.H., Schuermann T., Smith L.V. Forecasting economic and financial variables with global VARs. International Journal of Forecasting 2009, 25(4):642-675.
160. Qu Z., Perron P. Estimating and testing multiple structural changes in multivariate regressions. Econometrica 2007, 75:459-502.
161. Rapach D.E., Wohar M.E. Regime changes in international real interest rates: are they a monetary phenomenon?. Journal of Money, Credit, and Banking 2005, 37(5):887-906.
162. Rapach D.E., Wohar M.E. Structural breaks and predictive regression models of aggregate US stock returns. Journal of Financial Econometrics 2006, 4(20):238-274.
163. Rapach D.E., Strauss J.K., Zhou G. Out-of-sample equity premium prediction: combination forecasts and links to the real economy. Review of Financial Studies 2010, 23(2):821-862.
164. Ravazzolo, F., Paap, R., van Dijk, D., Franses, P.H., 2007. Bayesian Model Averaging in the Presence of Structural Breaks. Mimeo, Erasmus University.
165. Ravazzolo, F., Verbeek, M., Van Dijk, H.K., 2007. Predictive Gains from Forecast Combinations Using Time Varying Model Weights. Mimeo. Available at SSRN: http://ssrn.com/abstract=1012574.
166. Rime D., Sarno L., Sojli E. Exchange rate forecasting, order flow and macroeconomic information. Journal of International Economics 2010, 80(1):72-88.
167. Rogoff, K.S., Stavrakeva, V., 2008. The continuing puzzle of short horizon exchange rate forecasting. NBER Working Papers 14071.
168. Rossi B. Optimal tests for nested model selections with underlying parameter instabilities. Econometric Theory 2005, 21(5):962-990.
169. Rossi B. Are exchange rates really random walks? some evidence robust to parameter instability. Macroeconomic Dynamics 2006, 10(1):20-38.
170. Rossi B. Comment to: forecast rationality tests based on multi-horizon bounds. Journal of Business and Economic Statistics 2012, 30(1):25-29.
171. Rossi B., Sekhposyan T. Have models' forecasting performance changed over time, and when?. International Journal of Forecasting 2010, 26(4).
172. Rossi B., Sekhposyan T. Understanding models' forecasting performance. Journal of Econometrics 2011, 164:158-172.
173. Rossi, B., Sekhposyan, T., 2011b. Forecast Optimality Tests in the Presence of Instabilities. Mimeo, Duke University.
174. Rossi, B., Sekhposyan, T., Forthcoming a. Conditional Predictive Density Evaluation in the Presence of Instabilities, Journal of Econometrics.
175. Rossi, B., Sekhposyan, T., Forthcoming b. Evaluating Predictive Densities for US Output Growth and Inflation in a Large Macroeconomic Data Set. International Journal of Forecasting.
176. Sarno L., Valente G. Exchange rates and fundamentals: footloose or evolving relationship?. Journal of the European Economic Association 2009, 7(4):786-830.
177. Schinasi G., Swamy P. The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change. Journal of International Money and Finance 1989, 8:375-390.
178. Schrimpf A., Wang Q.W. A reappraisal of the leading indicator properties of the yield curve under structural instability. International Journal of Forecasting 2010, 26(4):836-857.
179. Schwert G.W. Anomalies and market efficiency. Handbook of the Economics of Finance 2003, Elsevier. G.M. Constantinides, M. Harris, R. Stulz (Eds.).
180. Smith A. Forecasting in the presence of level shifts. Journal of Forecasting 2005, 24(8):557-574.
181. Smith J., Wallis K. A simple explanation of the forecast combination puzzle. Oxford Bulletin of Economics and Statistics 2009, 71:331-355.
182. Stock J.H. Unit roots, structural breaks, and trends. Handbook of Econometrics 1994, vol. IV:2740-2843. Elsevier, Amsterdam.
183. Stock J.H., Watson M.W. Evidence on structural stability in macroeconomic time series relations. Journal of Business and Economic Statistics 1996, 14:11-30.
184. Stock J.H., Watson M.W. A dynamic factor model framework for forecast combination. Spanish Economic Review 1999, 1:91-121.
185. Stock J.H., Watson M.W. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. Festschrift in Honour of Clive Granger 2001, 1-44. Cambridge University Press. R.F. Engle, H. White (Eds.).
186. Stock J.H., Watson M.W. Has the business cycle changed and why?. NBER Macroeconomics Annual 2002, MIT Press, Cambridge, MA. M. Gertler, K. Rogoff (Eds.).
187. Stock J.H., Watson M.W. Forecasting output and inflation: the role of asset prices. Journal of Economic Literature XLI 2003, 788-829.
188. Stock J.H., Watson M.W. Combination forecasts of output growth in a seven country data set. Journal of Forecasting 2004, 23:405-430.
189. Stock J.H., Watson M.W. Forecasting with many predictors. Handbook of Economic Forecasting 2006, vol. 1. Elsevier, North Holland.
190. Stock J.H., Watson M.W. Why has inflation become harder to forecast?. Journal of Money, Credit, and Banking 2007, 39(1):3-34.
191. Stock J.H., Watson M.W. Forecasting in dynamic factor models subject to structural instability. The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F 2008, Oxford University Press, Hendry, Oxford. J. Castle, N. Shephard (Eds.).
192. Sullivan R., Timmermann A., White H. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 1999, 54:1647-1691.
193. Swanson N.R. Money and output viewed through a rolling window. Journal of Monetary Economics 1998, 41:455-473.
194. Swanson N.R., White H. A model selection approach to assessing the information in the term structure using linear models and artifical neural networks. Journal of Business and Economic Statistics 1995, 13:265-275.
195. Swanson N.R., White H. A model selection approach to real-time macroeconomic forecasting using linear models and artificial neural networks. Review of Economics and Statistics 1997, 79:540-550.
196. Terasvirta Timo Forecasting economic variables with nonlinear models. Handbook of Economic Forecasting 2009, vol. 1. Elsevier, North Holland.
197. Timmermann A. Forecast combinations. Handbook of Economic Forecasting 2006, vol. 1. Elsevier, North Holland.
198. Timmermann A. Elusive return predictability. International Journal of Forecasting 2008, 24(1):1-18.
199. West K.D. Asymptotic inference about predictive ability. Econometrica 1996, 64:1067-1084.
200. West K.D. Forecast evaluation. Handbook of Economic Forecasting 2006, vol. 1. Elsevier, North Holland.
201. West K.D., McCracken M.W. Regression-based tests of predictive ability. International Economic Review 1998, 39(4):817-840.
202. Wheelock D.C., Wohar M.E. Can the term spread predict output growth and recessions? a survey of the literature. Federal Reserve Bank of St. Louis Review 2009, 91(5):419-440.
203. Winters P.R. Forecasting sales by exponentially weighted moving averages. Management Science 1960, 6:324-342.
204. Wolff C. Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models. Journal of Business and Economic Statistics 1987, 5:87-97.
205. Wright J.H. Bayesian model averaging and exchange rate forecasts. Journal of Econometrics 2008, 146(2):329-341.
206. Wright J.H. Forecasting US inflation by bayesian model averaging. Journal of Forecasting 2009, 28(2):131-144.