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~institution:"Federal Reserve Bank of St. Louis"
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The Fed’s new regime and the 2013 outlook
Bullard, James
-
Federal Reserve Bank of St. Louis
-
2013
January 10, 2013. Presentation. "The Fed's New Regime and the 2013 Outlook." Wisconsin Economic Forecast Luncheon, Wisconsin Bankers Association. Madison, Wisconsin.
Persistent link: https://www.econbiz.de/10010727358
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2
Tests of equal predictive ability with real-time data
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2008
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi-step predictions from both non-nested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time,...
Persistent link: https://www.econbiz.de/10005490949
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3
Improving forecast accuracy by combining recursive and rolling forecasts
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2008
This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance tradeoff faced when choosing between either the recursive and rolling...
Persistent link: https://www.econbiz.de/10005490956
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4
Averaging forecasts from VARs with uncertain instabilities
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2008
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 methods might be used to improve the accuracy of forecasts from a VAR. The uncertainty inherent in any single...
Persistent link: https://www.econbiz.de/10005490997
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5
Data dependence
Poole, William
-
Federal Reserve Bank of St. Louis
-
2006
A speech at the Middle Tennessee State University, Annual Economic Outlook Conference, Murfreesboro, Tenn., Sept. 29, 2006
Persistent link: https://www.econbiz.de/10005420415
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6
Near-term challenges for the U.S. economy
Bullard, James
-
Federal Reserve Bank of St. Louis
-
2008
2008 Annual Economic Outlook Conference, Middle Tennessee State University, Murfreesboro, Tenn., Sept. 26, 2008
Persistent link: https://www.econbiz.de/10005420455
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7
Multi-step ahead forecasting of vector time series
McElroy, Tucker
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2012
This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past, developing the forecast filters and the forecast error filters explicitly, and also provide formulas for...
Persistent link: https://www.econbiz.de/10010599271
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8
Evaluating the accuracy of forecasts from vector autoregressions
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2013
This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...
Persistent link: https://www.econbiz.de/10010628489
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9
In-sample tests of predictive ability: a new approach
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2009
This paper presents analytical, Monte Carlo, and empirical evidence linking in-sample tests of predictive content and out-of-sample forecast accuracy. Our approach focuses on the negative effect that finite-sample estimation error has on forecast accuracy despite the presence of significant...
Persistent link: https://www.econbiz.de/10008583243
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10
Nested forecast model comparisons: a new approach to testing equal accuracy
Clark, Todd E.
;
McCracken, Michael W.
-
Federal Reserve Bank of St. Louis
-
2009
This paper develops bootstrap methods for testing whether, in a finite sample, competing out-of-sample forecasts from nested models are equally accurate. Most prior work on forecast tests for nested models has focused on a null hypothesis of equal accuracy in population - basically, whether...
Persistent link: https://www.econbiz.de/10008583249
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