Macroeconomic Forecasting and Structural Change

Keywords

Econometrics, Vector autoregression, Economics, Inflation (cosmology), Stochastic volatility

References

• G-7 INFLATION FORECASTS: RANDOM WALK, PHILLIPS CURVE OR WHAT ELSE?Fabio Canova — 2002
• Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?Barbara Rossi, Tatevik Sekhposyan — 2010
• Prices, Wages and the U.S. NAIRU in the 1990sDouglas O. Staiger, James H. Stock, Mark W. Watson — 2001
• Phillips Curve Inflation ForecastsJames H. Stock, Mark W. Watson — 2008
• (Un)Predictability and Macroeconomic StabilityAntonello D’Agostino, Domenico Giannone, Paolo Surico — 2006
• Explaining the great moderation: it is not the shocksDomenico Giannone, Michèle Lenza, Lucrezia Reichlin — 2008
• Trend Inflation and Inflation Persistence in the New Keynesian Phillips CurveTimothy Cogley, Argia M. Sbordone — 2006
• Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap RiskRodney W. Strachan, Herman K. van Dijk — 2008
• Real-Time Density Forecasts from VARs with Stochastic VolatilityTodd E. Clark — 2009
• Forecasting with Small Macroeconomic VARs in the Presence of InstabilitiesTodd E. Clark, Michael W. McCracken — 2006
• Federal Reserve Information and the Behavior of Interest RatesChristina Romer, David Romer — 2000
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic VolatilityTodd E. Clark — 2011
• The Combination of ForecastsJohn M. Bates, Clive W. J. Granger — 1969
• Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.Timothy Cogley, Thomas J. Sargent — 2005
• Evidence on Structural Instability in Macroeconomic Time Series RelationsJames H. Stock, Mark W. Watson — 1996
• Forecasting Macroeconomic Time Series with Locally Adaptive Signal ExtractionPaolo Giordani, Mattias Villani — 2009
• Comparing Density Forecasts via Weighted Likelihood Ratio TestsGianni Amisano, Raffaella Giacomini — 2007
• The persistence of inflation in the United StatesFrederic Pivetta, Ricardo Reis — 2007
• Stochastic Volatility: Likelihood Inference And Comparison With Arch ModelsSang‐Joon Kim, Neil Shepherd, Siddhartha Chib — 1996
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?Clive W. J. Granger — 2008

Cited by

• Forecasting with VAR models: fat tails and stochastic volatilityChing‐Wai Chiu, Haroon Mumtaz, Gábor Pintér — 2017
• Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial DependenceMichael S. Smith, Shaun P. Vahey — 2016
• Efficient Estimation of Bayesian VARMAs with Time-Varying CoefficientsJoshua C. C. Chan, Eric Eisenstat — 2015
• Studies of inflation and forecasting.C. Bermingham — 2011
• Measuring Inflation Forecast UncertaintyEdward S. Knotek, Saeed Zaman, Todd E. Clark — 2015
• Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic VolatilityJoshua C. C. Chan, Eric Eisenstat — 2018
• Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?Tim Oliver Berg, Steffen Henzel — 2013
• Using Entropic Tilting to Combine BVAR Forecasts With External NowcastsFabian Krüger, Todd E. Clark, Francesco Ravazzolo — 2014
• Loan Supply Shocks and the Business CycleLuca Gambetti, Alberto Musso — 2017
• The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying VolatilityTodd E. Clark, Francesco Ravazzolo — 2012
• Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT ProgramNikolay Hristov, Oliver Hülsewig, Thomas Siemsen — 2014
• Point and Density Forecasts for the Euro Area Using Bayesian VARsTim Oliver Berg, Steffen Henzel — 2015
• An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional ChinaLinlin Niu, Xiu Xu, Ying Chen — 2017
• Adaptive Models and Heavy TailsIván Petrella, Davide Delle Monache — 2016
• Was the Recent Downturn in US GDP PredictableMehmet Balcılar, Rangan Gupta, Anandamayee Majumdar — 2015
• Financial Shocks and the Macroeconomy: Heterogeneity and Non-LinearitiesKirstin Hubrich, Antonello D’Agostino, Marianna Červená — 2013
• Have Standard VARs Remained Stable Since the CrisisKnut Are Aastveit, Andrea Carriero, Todd E. Clark — 2014
• Inflation and Unemployment Forecasting with Genetic Support Vector RegressionGeorgios Sermpinis, Charalampos Stasinakis, Konstantinos Theofilatos — 2014
• Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable SelectionMirriam Chitalu Chama-Chiliba, Rangan Gupta, Nonophile Nkambule — 2012
• Time Variation in the Dynamics of Worker Flows: Evidence from the US and CanadaGary Koop, Deborah Gefang, Michele Campolieti — 2011

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