Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle

By Barbara Rossi. 2005

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6b0396fc2f8ef0a3c06d8da422904d517c19607e

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Citations in the corpus

Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “Rossi (2005) documents the existence of size distortions of the DMW tests by revisiting the Meese and Rogoff puzzle.”
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2006, methodology): “…discussion of the ramifications of using nonstationary variables when constructing tests of predictive ability, see Corradi, Swanson and Olivetti (2001) and Rossi (2003). values, and hence we use the standard normal distribution as a rough guide for all horizons (see CM for further discussion).”
Exchange Rates and Fundamentals (2005, unknown): “For countries and data series for which there is statistically significant evidence of Granger causality, we next gauge whether the Granger cau-”
Exchange Rate Predictability (2013, unknown): “The robustness of Mark s (1995) ndings has, however, been questioned by Berkowitz and Giorgianni (2001), Kilian (1999), Groen (1999), Faust et al. (2003) and Rossi (2005a).”
Simultaneous Confidence Regions for Impulse Responses (2009, methodology): “These approximate multivariate Gaussian results and the Wald principle are also useful in anchoring structural identification of the system.”
Forecasting: theory and practice (2020, background): “…extensions have emerged to address issues that DM tests encountered in practice such as nested models (Clark and McCracken, 2001, 2009), parameter estimation error (West, 1996), cointegrated variables (Corradi et al., 2001), high persistence (Rossi, 2005), and panel data (Timmermann and Zhu, 2019).”
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009, background): “4 parity equations, or also agents heterogeneity leading to di¤erent responses to macroeconomic developments over time (e.g. see Schinasi and Swamy, 1989; Rossi, 2005, 2006).”
Small sample confidence intervals for multivariate impulse response functions at long horizons (2006, background): “Also, (3) follows directly from eq. (15) in Rossi (2005) by letting q →∞ .”
FORECAST EVALUATION (background): “One might be basing predictions on nonlinear time series models, for example, or restricted reduced forms of simultaneous equations models estimated by GMM. • At present, results with I(1) data are restricted to linear models [Corradi, Swanson and Olivetti (2001), Rossi (2003)] .”
Forecast comparisons in unstable environments (2010, background): “The Fluctuation test, on the other hand, does not require the researcher to 5This procedure is justi ed by the fact that the two components LM1 and LM2 are asymptotically independent see Rossi (2005b).”
The Scapegoat Theory of Exchange Rates: The First Tests (2014, unknown): “Journal of721 Money, Credit, and Banking 43, 535-552.722 Primiceri, G., 2005.”
Can Oil Prices Forecast Exchange Rates (2011, unknown): “…has been found mainly at longer horizons (see Mark, 1995; Chinn and Meese, 1995; Cheung, Chinn and Pascual, 2005, and Engel, Mark and West, 2007), although inference procedures have been called into question (see Kilian, 1999; Berkowitz and Giorgianni, 2001; Rogo¤, 2007; and Rossi, 2005, 2007).”