Stephen G. Hall and James Mitchell 235
Clements, M.P. and J. Smith (2002) Evaluating multivariate forecast densities: a comparison
of two approaches.International Journal of Forecasting 18 , 397–407.
Clements, M.P. and N. Taylor (2003) Evaluating interval forecasts of high-frequency financial
data.Journal of Applied Econometrics 18 , 445–56.
Cogley, T., S. Morozov and T.J. Sargent (2005) Bayesian fan charts for U.K. inflation: Fore-
casting and sources of uncertainty in an evolving monetary system.Journal of Economic
Dynamics and Control 29 , 1893–925.
Cogley, T. and T.J. Sargent (2001) Evolving post World War II U.S. inflation dynamics. In
NBERMacroeconomics Annual.pp. 331–73. Cambridge, Mass.: MIT Press.
Corradi, V. and N.R. Swanson (2006a) Bootstrap conditional distribution tests in the presence
of dynamic misspecification.Journal of Econometrics 127 , 779–806.
Corradi, V. and N.R. Swanson (2006b) Predictive density and conditional confidence interval
accuracy tests.Journal of Econometrics 127 , 187–228.
Corradi, V. and N.R. Swanson (2006c) Predictive density evaluation. In G. Elliott, C.W.J.
Granger and A. Timmermann (eds.),Handbook of Economic Forecasting, Volume 1, pp. 197–
- Amsterdam: North-Holland.
Del Negro, M. and F. Schorfheide (2004) Priors from general equilibrium models for VARs.
International Economic Review 45 , 643–73.
Diebold, F.X., T. Gunther and A. Tay (1998), Evaluating density forecasts with application to
financial risk management.International Economic Review 39 , 863–83.
Diebold, F.X., J. Hahn and A. Tay (1999) Multivariate density forecast evaluation and calibra-
tion in financial risk management: high-frequency returns on foreign exchange.Review of
Economics and Statistics 81 , 661–73.
Diebold, F.X. and R.S. Mariano (1995) Comparing predictive accuracy.Journal of Business and
Economic Statistics 13 , 253–63.
Diebold, F.X., A. Tay and K.F. Wallis (1999) Evaluating density forecasts of inflation: the
Survey of Professional Forecasters. In R. Engle and H. White (eds.),Cointegration, Causality
and Forecasting: A Festschrift in Honour of Clive W.J. Granger.Oxford: Oxford University
Press.
Diks, C., V. Panchenko and D. van Dijk (2008) Partial likelihood-based scoring rules for
evaluating density forecasts in tails. Economics Discussion Paper No. 2008/10, University
of New South Wales.
Doornik, J.A. and H. Hansen (1994) A practical test for univariate and multivariate normality.
Discussion Paper, Nuffield College, Oxford.
Dowd, K. (2007) Validating multiple-period density forecasting models.Journal of Forecasting
26 , 251–70.
Dowd, K. (2008) GDP fan charts: an empirical evaluation.National Institute Economic Review
203 , 59–67.
Draper, D. (1995) Assessment and propagation of model uncertainty.Journal of the Royal
Statistical Society, Series B 57 , 45–97.
Eklund, J. and S. Karlsson (2007) Forecast combination and model averaging using predictive
measures.Econometric Reviews 26 (2–4), 329–63.
Elder, R., G. Kapetanios, T. Taylor and T. Yates (2005) Assessing the MPC’s fan charts.Bank
of England Quarterly Bulletin 45 , 326–48.
Engle, R.F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance
of United Kingdom inflation.Econometrica 50 (4), 987–1007.
Engle, R.F. (2002) Dynamic conditional correlation: a simple class of multivariate generalised
conditional heteroskedasticity models.Journal of Business and Economic Statistics 20 (3),
339–50.
Engle,R.F. andK.Kroner (1995) Multivariate simultaneous generalized GARCH.Econometric
Theory 11 , 122–50.
Everitt, B.S. and Hand D.J. (1981),Finite Mixture Distributions. London: Chapman and
Hall.