Palgrave Handbook of Econometrics: Applied Econometrics

(Grace) #1
Michael P. Clements and David I. Harvey 197

Harvey, D.I., S.J. Leybourne and P. Newbold (1997) Testing the equality of prediction mean
squared errors.International Journal of Forecasting 13 , 281–91.
Harvey, D.I., S.J. Leybourne and P. Newbold (1998) Tests for forecast encompassing.Journal
of Business and Economic Statistics 16 , 254–9. Reprinted in T.C. Mills (ed.),Economic
Forecasting.The International Library of Critical Writings in Economics.Cheltenham: Edward
Elgar, 1999.
Harvey, D.I., S.J. Leybourne and P. Newbold (1999) Forecast evaluation tests in the
presence of ARCH.Journal of Forecasting 18 , 435–45.
Harvey, D.I. and P. Newbold (2000) Tests for multiple forecast encompassing.Journal of
Applied Econometrics 15 , 471–82.
Harvey, D.I. and P. Newbold (2003) The non-normality of some macroeconomic forecast
errors.International Journal of Forecasting 19 , 635–53.
Harvey, D.I. and P. Newbold (2005) Forecast encompassing and parameter estimation.
Oxford Bulletin of Economics and Statistics 67 , Supplement, 815–36.
Hendry, D.F. and M.P. Clements (2004) Pooling of forecasts.Econometrics Journal 7 , 1–31.
Hendry, D.F. and J.-F. Richard (1989) Recent developments in the theory of encompassing. In
B. Cornet and H. Tulkens (eds.),Contributions to Operations Research and Economics. The XXth
Anniversary of CORE, pp. 393–440. Cambridge, Mass.: MIT Press. Reprinted in J. Campos,
N.R. Ericsson and D.F. Hendry (eds.),General to Specific Modelling. Cheltenham: Edward
Elgar, 2005.
Kamstra, M. and P. Kennedy (1998) Combining qualitative forecasts using logit.
International Journal of Forecasting 14 , 83–93.
Keane, M.P. and D.L. Runkle (1990) Testing the rationality of price forecasts: new evidence
from panel data.American Economic Review 80 , 714–35.
Kuan, C.-M. and H. White (1994) Artificial neural networks: an econometric perspective.
Econometric Reviews 13 , 1–143.
LeSage, J.P. and M. Magura (1992) A mixture-model approach to combining forecasts.Journal
of Business and Economic Statistics 10 , 445–52.
Makridakis, S. and R.L. Winkler (1983) Averages of forecasts: some empirical results.
Management Science 29 , 987–96.
Marcellino, M., J.H. Stock and M.W. Watson (2006) A comparison of direct and iterated
multistep AR methods for forecasting macroeconomic time series.Journal of Econometrics
135 , 499–526.
McNees, S.K. (1995) Forecast uncertainty: can it be measured? Discussion paper, Federal
Reserve Bank of New York.
Min, C. and A. Zellner (1993) Bayesian and non-Bayesian methods for combining models
and forecasts with applications to forecasting international growth rates. Journal of
Econometrics 56 , 89–118.
Mincer, J. and V. Zarnowitz (1969) The evaluation of economic forecasts. In J. Mincer (ed.),
Economic Forecasts and Expectations. New York: National Bureau of Economic Research.
Mizon, G.E. (1984) The encompassing approach in econometrics. In D.F Hendry and K.F.
Wallis (eds.),Econometrics and Quantitative Economics, pp. 135–72. Oxford: Blackwell.
Mizon, G.E. and J.-F. Richard (1986) The encompassing principle and its application to
non-nested hypothesis tests.Econometrica 54 , 657–78.
Morgan, W.A. (1939) A test for significance of the difference between the two variances in a
sample form a normal bivariate population.Biometrika 31 , 13–19.
Nelson,C.R. (1972) Thepredictionperformance of the FRB-MIT-PENN model of the US
economy.American Economic Review 62 , 902–17. Reprinted in T.C. Mills (ed.),Economic
Forecasting. The International Library of Critical Writings in Economics. Cheltenham: Edward
Elgar, 1999.
Newbold, P. and D.I. Harvey (2002) Forecasting combination and encompassing. In M.P.
Clements and D.F. Hendry (eds.),A Companion to Economic Forecasting, pp. 268–83: Oxford:
Blackwell.
Patton, A.J. and A. Timmermann (2007) Testing forecast optimality under unknown loss.
Journal of the American Statistical Association 102 , 1172–84.

Free download pdf