References
- Bauwens, L.; G. Koop; D. Korobilis; and J. Rombouts. 2011. “A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.” CIRANO Scientific Publication no. 2011s-13, Center for Interuniversity Research and Analysis on Organizations, Montreal.
- Clark, T., and M. McCracken. 2001. “Tests of Equal Forecast Accuracy and Forecast Encompassing for Nested Models.” Journal of Econometrics 105, no. 1: 85–110.
- ———. 2004. “Evaluating Long-Horizon Forecasts.” Manuscript, University of Missouri, Columbia.
- Clements, M.P., and D.I. Harvey. 2007. “Forecast Combination and Encompassing.” In Palgrave Handbook of Econometrics: Volume 2: Applied Econometrics, ed. T.C. Mills and K. Patterson, pp. 169–198. Houndmills, Hampshire, UK: Palgrave Macmillan Ltd.
- Diebold, F., and R. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business and Economic Statistics 13, no. 2: 253–263.
- Harvey, D.; S. Leybourne; and P. Newbold. 1998. “Tests for Forecast Encompassing.” Journal of Business and Economic Statistics 16, no. 2: 254–259.
- Hoover, K.D., and S.J. Perez. 2000. “Three Attitudes Towards Data Mining.” Journal of Economic Methodology 7, no. 2: 195–210.
- Inoue, A., and L. Kilian. 2004. “In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?” Econometric Reviews 23, no. 4: 371–402.
- Kilian, L. 1999. “Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?” Journal of Applied Econometrics 14, no. 5: 491–510.
- Kιşιnbay, T. 2007. “The Use of Encompassing Tests for Forecast Combinations.” Working Paper no. 07/264, International Monetary Fund, Washington, DC.
- Koop, G., and S. Potter. 2007. “Estimation and Forecasting in Models with Multiple Breaks.” Review of Economic Studies 74: 763–789.
- Ludvigson, S., and S. Ng. 2009. “Macro Factors in Bond Risk Premia.” Review of Financial Studies 22, no. 12: 5027–5067.
- ———. 2010. “A Factor Analysis of Bond Risk Premia.” In Handbook of Empirical Economics and Finance, ed. A. Uhla and D. Giles, pp. 313–372. Boca Raton: Chapman and Hall.
- Mayes, D., and M. Viren. 2001. “Financial Conditions Indexes.” Discussion Paper no. 17/2001, Bank of Finland, Helsinki.
- McCracken, M. 2007. “Asymptotics for Out-of-Sample Tests of Granger Causality.” Journal of Econometrics 140, no. 2: 719–752.
- Ng, S., and P. Perron. 2001. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica 69, no. 6: 1519–1554.
- Pesaran, M.; D. Pettenuzzo; and A. Timmermann. 2006. “Forecasting Time Series Subject to Multiple Structural Breaks.” Review of Economic Studies 73: 1057–1084.
- Rapach, D., and C. Weber. 2004. “Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach.” Economic Enquiry 42, no. 4: 717–738.
- Stock, J., and M. Watson. 2003. “Forecasting Output and Inflation: The Role of Asset Prices.” Journal of Economic Literature 41, no. 3: 788–829.
- Thoma, M.A., and J.A. Gray. 1998. “Financial Market Variables Do Not Predict Real Activity.” Economic Inquiry 36, no. 4: 522–539.
- Thompson, K.; R. Van Eyden; and R. Gupta. 2013. “Identifying a Financial Conditions Index for South Africa.” Studies in Economics and Finance 32, no. 2: 256–274.
- West, K. 1996. “Asymptotic Inference About Predictive Ability.” Econometrica 64, no. 5: 1067–1084.