Dallas, TX 75275
United States
Southern Methodist University
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Predictability test, data mining, structural change, out-of-sample inference
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Data mining, parameter instability, predictability test, reliability of inference
impulse response function, matching estimator, redundant selection criterion
Model selection, Forecast accuracy, Structural change, Information criteria, Simulated out-of-sample method
Forecast accuracy, model selection, structural change, information criteria, simulated out-of-sample method
Predictive Ability Testing, Forecast Evaluation, Estimation Window
factor models, structural break
GMM, Shrinkage, Weak Identification
Zero lower bound, DSGE model, Parameter bias, Bayesian estimation
Bootstrap aggregation, forecasting, model selection, pre-testing
Bootstrap aggregation, Bayesian model averaging, forecast combination, factor models, shrinkage estimation, forecast model selection, pre-testing
Inflation expectations, consumer expenditure survey, Michigan survey of consumers, survey of professional forecasters, Euler equation
Credible Set, Impulse responses, Median, Mode, Sign restrictions, Simultaneous inference, Vector autoregression
Bayes factor, Bayesian estimation, Confidence set, DSGE models, Identification, Inference, Likelihood ratio
Bootstrap, Confidence regions, Degenerate limiting distribution, Impulse response shapes, Joint inference, Shotgun plots
Fiscal policy, Government spending shocks, Heterogeneity, Tax shocks