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Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Cointegration in Panel Data with Structural Breaks and Cross-Section Dependen...
The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered.... -
TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS (replication data)
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong... -
WEIGHTED SMOOTH TRANSITION REGRESSIONS (replication data)
A new procedure is proposed for modelling nonlinearity of a smooth transition form, by allowing the transition variable to be a weighted function of lagged observations. This... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Averaging forecasts from VARs with uncertain instabilities (replication data)
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting... -
Modes, weighted modes, and calibrated modes: evidence of clustering using mod...
We apply recent results from the statistics literature to test for multimodality of worldwide distributions of several (unweighted and population-weighted) measures of labor... -
A nonparametric measure of convergence towards purchasing power parity (repli...
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real... -
Disaggregate evidence on the persistence of consumer price inflation (replica...
This paper uses disaggregate inflation data spanning all of consumption to examine: (i) the persistence of disaggregate inflation relative to aggregate inflation; (ii) the... -
Partially overlapping time series: a new model for volatility dynamics in com...
In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time... -
Computation and analysis of multiple structural change models (replication data)
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
An EMS target zone model in discrete time (replication data)
The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed...
