Palgrave Handbook of Econometrics: Applied Econometrics

192 Forecast Combination and Encompassing whereWt∗is anFt-measurable function.Wt− 1 plays the same role asht− 1 in the Condition ...

Michael P. Clements and David I. Harvey 193 so that the combination weights are selected to minimize ∑ te 2 t, the sum of square ...

194 Forecast Combination and Encompassing As∂μ∂β 0 e=−1, the optimal value forβ 0 ,β 0 ∗, solves ∂g ( μe,σe^2 ) ∂μe =0.β ∗ 0 dep ...

Michael P. Clements and David I. Harvey 195 References Andrews, M.J., A.P.L. Minford and J. Riley (1996) On comparing macroecono ...

196 Forecast Combination and Encompassing Deutsch, M., C.W.J. Granger and T. Teräsvirta (1994) The combination of forecasts usin ...

Michael P. Clements and David I. Harvey 197 Harvey, D.I., S.J. Leybourne and P. Newbold (1997) Testing the equality of predictio ...

198 Forecast Combination and Encompassing Phillips, P.C.B. (1995) Spurious regression in forecast-encompassing tests. Econometri ...

5 Recent Developments in Density Forecasting Stephen G. Hall and James Mitchell Abstract With the growing recognition that point ...

200 Recent Developments in Density Forecasting 5.1 Introduction Forecasts of the future values of economic variables are used wi ...

Stephen G. Hall and James Mitchell 201 to bring together current wisdom and indicates areas where more research would be welcome ...

202 Recent Developments in Density Forecasting assessment of “risk” was correct. When it is correct their “risk” forecast might ...

Stephen G. Hall and James Mitchell 203 but equals: ̂yt|t−h=E(yt|t−h)+ φV(yt|t−h) 2 , (5.1) whereφis the asymmetry parameter in ...

204 Recent Developments in Density Forecasting been used as a proxy for true uncertainty. As the SPF also offers a direct measur ...

Stephen G. Hall and James Mitchell 205 is the contribution coming from incorrect exogenous assumptions, and(Y^4 −̂Y)is the contr ...

206 Recent Developments in Density Forecasting Given this obvious limitation of the standard model, when a researcher is inter- ...

Stephen G. Hall and James Mitchell 207 VAR (BVAR) model, which incorporates both drifting coefficients and stochastic volatility ...

208 Recent Developments in Density Forecasting Finally the reflecting barrier alters the transition density to give: p(θt+ 1 |θt ...

Stephen G. Hall and James Mitchell 209 The NIESR began publishing regular density forecasts in 1996, although it had been publis ...

210 Recent Developments in Density Forecasting on the steady-state of the VAR model by detrending, in particular inflation, prio ...

Stephen G. Hall and James Mitchell 211 (KLIC), which may be stated as: K(π∗:π)= ∑N i= 1 π ∗ ilog ( π∗i πi ) . (5.19) Obviously, ...