Palgrave Handbook of Econometrics: Applied Econometrics

(Grace) #1
Michael P. Clements and David I. Harvey 195

References


Andrews, M.J., A.P.L. Minford and J. Riley (1996) On comparing macroeconomic fore-
casts using forecast encompassing tests.Oxford Bulletin of Economics and Statistics 58 ,
279–305.
Baillie, R.T. (1979) The asymptotic mean squared error of multistep prediction from the
regression model with autoregressive errors.Journal of the American Statistical Association
74 , 175–84.
Baillie, R.T. and T. Bollerslev (1992) Prediction in dynamic models with time-dependent
conditional variances.Journal of Econometrics 52 , 91–113.
Bates, J.M. and C.W.J. Granger (1969) The combination of forecasts.Operations Research
Quarterly 20 , 451–68. Reprinted in T.C. Mills (ed.),Economic Forecasting.The International
Library of Critical Writings in Economics.Cheltenham: Edward Elgar, 1999.
Bhansali, R.J. (2002) Multi-step forecasting. In M.P. Clements and D.F. Hendry (eds.),A
Companion to Economic Forecasting, pp. 206–21: Oxford: Blackwell.
Chong, Y.Y. and D.F. Hendry (1986) Econometric evaluation of linear macro-economic mod-
els.Review of Economic Studies 53 , 671–90. Reprinted in C.W.J. Granger (ed.),Modelling
Economic Series. Oxford: Clarendon Press, 1990.
Christoffersen, P.F. (1998) Evaluating interval forecasts.International Economic Review 39 ,
841–62.
Christoffersen, P.F. and F.X. Diebold (1997) Optimal prediction under asymmetric loss.
Econometric Theory 13 , 808–17.
Clark, T. E. and M.W. McCracken (2000) Not-for-publication appendix to “Tests of equal
forecast accuracy and encompassing for nested models.” Manuscript, Federal Reserve Bank
of Kansas City.
Clark, T.E. and M.W. McCracken (2001) Tests of equal forecast accuracy and encompassing
for nested models.Journal of Econometrics 105 , 85–110.
Clark, T.E. and M.W. McCracken (2005) Evaluating direct multi-step forecasts.Econometric
Reviews 24 , 369–404.
Clemen, R.T. (1989) Combining forecasts: a review and annotated bibliography.International
Journal of Forecasting 5 , 559–83. Reprinted in T.C. Mills (ed.),Economic Forecasting. The
International Library of Critical Writings in Economics. Cheltenham: Edward Elgar, 1999.
Clemen, R.T. and R.L. Winkler (1986) Combining economic forecasts.Journal of Business
and Economic Statistics 4 , 39–46.
Clemen, R.T. and R.L. Winkler (1999) Combining probability distributions from experts in
risk analysis.Risk Analysis 19 , 187–203.
Clements, M.P. (1997) Evaluating the rationality of fixed-event forecasts. Journal of
Forecasting 16 , 225–39.
Clements, M.P. (2008) Internal consistency of survey respondents’ forecasts: evidence
based on the Survey of Professional Forecasters. In J.L. Castle and N. Shephard (eds.),The
Methodology and Practice of Econometrics.Oxford: Oxford University Press.
Clements, M.P. and D.I. Harvey (2006) Forecast encompassing tests and probability forecasts.
Working Paper, Department of Economics, University of Warwick.
Clements, M.P. and D.I. Harvey (2007) Combining probability forecasts. Working Paper,
Department of Economics, University of Warwick.
Clements, M.P. and D.F. Hendry (1998)Forecasting Economic Time Series. Cambridge:
Cambridge University Press. The Marshall Lectures on Economic Forecasting.
Clements, M.P. and D.F. Hendry (2006) Forecasting with breaks. In G. Elliott, C.W.J. Granger
and A. Timmermann (eds.),Handbook of Economic Forecasting, Volume 1. Handbook of
Economics 24, pp. 605–57: Amsterdam: Elsevier, North-Holland.
Clements, M.P. and N. Taylor (2003) Evaluating prediction intervals for high-frequency
data.Journal of AppliedEconometrics 18 , 445–56.
Coulson, N.F. and R.P. Robins (1993) Forecast combination in a dynamic setting.Journal of
Forecasting 12 , 63–8.

Free download pdf