234 Recent Developments in Density Forecasting
Bianchi, C. and G. Calzolari (1980) The one period forecast error in non-linear econometric
models.International Economic Review 21 , 201–8.
Blake, A. (1996) Forecast error bounds by stochastic simulation.National Institute Economic
Review 156 , 72–9.
Blanchard, O.J. and J. Simon (2001) The long and large decline in U.S. output volatility.
Brookings Papers on Economic Activity(1), 135–64.
Boero, G., J. Smith and K.F. Wallis (2004) The sensitivity of chi-squared goodness-of-fit tests
to the partitioning of data.Econometric Reviews 23 , 341–70.
Boero, G., J. Smith and K.F. Wallis (2008) Uncertainty and disagreement in economic pre-
diction: the Bank of England Survey of External Forecasters.Economic Journal 118 (530),
1107–27.
Bollerslev, T., R.F. Engle and D.B. Nelson (1994) Arch models. In R. Engle and D. McFadden
(eds.),Handbook of Econometrics,Volume IV, pp. 2959–3038. Amsterdam: Elsevier.
Bomberger, W. (1996) Disagreement as a measure of uncertainty.Journal of Money, Credit and
Banking 28 , 381–92.
Brainard, W. (1967) Uncertainty and the effectiveness of monetary policy.American Economic
Review 57 (2), 411–25.
Britton, E., P. Fisher and J. Whitley (1998) The inflation report projections: understanding
the fan chart.Bank of England Quarterly Bulletin 38 , 30–7.
Burnham, K.P. and D.R. Anderson (2002)Model Selection and Multimodel Inference: A Practical
Information-Theoretic Approach(second edition). New York: Springer-Verlag.
Canova, F. (1993) Modelling and forecasting exchange rates with a Bayesian time-varying
coefficient model.Journal of Economic Dynamics and Control 17 , 233–61.
Chen, X. and Y. Fan (2004) Evaluating density forecasts via the copula approach.Finance
Research Letters 1 , 74–84.
Chib, S., F. Nardari and N. Shephard (2006) Analysis of high dimensional multivariate
stochastic volatility models.Journal of Econometrics 127 (2), 341–71.
Christoffersen, P. (1998) Evaluating interval forecasts. International Economic Review 39 ,
841–62.
Clark, T.E. and M.W. McCracken (2008) Averaging forecasts from VARs with uncertain insta-
bilities.Journal of Applied Econometrics. Forthcoming. Revision of Federal Reserve Bank of
Kansas City Working Paper 06–12.
Clemen, R.T., A.H. Murphy and R.L. Winkler (1995) Screening probability forecasts: contrasts
between choosing and combining.International Journal of Forecasting 11 , 133–46.
Clemen, R. and R. 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. (2003) Editorial: some possible directions for future research.International
Journal of Forecasting 19 , 1–3.
Clements, M.P. (2004), Evaluating the Bank of England density forecasts of inflation.Economic
Journal 114 , 844–66.
Clements, M.P. (2005)Evaluating Econometric Forecasts of Economic and Financial Variables.
Basingstokeand London: PalgraveMacmillan.
Clements,M.P. (2006) Evaluating the Survey of Professional Forecasters probability distribu-
tions of expected inflation based on derived event probability forecasts.Empirical Economics
31 , 49–64.
Clements, M.P., P. Franses, J. Smith and D. van Dijk (2003) On SETAR non-linearity and
forecasting.Journal of Forecasting 22 , 359–75.
Clements, M.P. and D.F. Hendry (1998)Forecasting Economic Time Series. Cambridge: Cam-
bridge University Press.
Clements, M.P. and J. Smith (2000) Evaluating the forecast densities of linear and non-
linear models: Applications to output growth and unemployment.Journal of Forecasting 19 ,
255–76.