Advances in Forecasting Under Instability

173 citations recorded by the source corpus.

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Generalised Density Forecast Combinations (2015, unknown): “…econometric applications as a means of improving forecast ‘accuracy’, as measured by a scoring rule (see Gneiting & Raftery (2007)), especially in the face of uncertain instabilities and uncertainty about the preferred model; e.g., see Jore et al. (2010), Geweke & Amisano (2012) and Rossi (2013).”
Exchange Rate Predictability (2013, unknown): “27 Molodtsova et al. (2010), Giacomini and Rossi (2010) and Inoue and Rossi (2012) also …nd strong empirical evidence in favor of Taylor-rule fundamentals.”
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019, unknown): “See Rossi (2013) for a review.”
Forecast combinations: An over 50-year review (2022, background): “See, e.g., Rossi (2013) and Rossi (2021) for an extensive discussion on forecast combinations in the presence of instabilities.”
The Evolution of Forecast Density Combinations in Economics (2018, background): “…“model uncertainty” with multiple density forecasts produced from different models and/or experts often available; with experience (e.g. see Rossi (2013)) often suggesting that the relative performance of different models varies over time (due to structural instabilities in the unknown…”