Forecast Rationality Tests Based on Multi-Horizon Bounds

By Andrew J. Patton, Allan G. Timmermann. 2012

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a0eb36a3cdb045b5923ec3065c9c3314bf28dbe4

Citations in the corpus

• Now-Casting and the Real-time Data Flow (2013, unknown): “In case of (3)-(4) this boils down to iterating the two-step procedure until convergence, at each step correcting for the uncertainty associated with the estimation of the common factors, see Watson and Engle (1983) and Shumway and Stoffer (1982). Maximum likelihood has a number of advantages compar”
• Advances in Forecast Evaluation (2011, unknown): “More recently, Patton and Timmermann (2012) develop new methods for testing the rationality or optimality of forecasts spanning multiple forecast horizons, using information from multiple horizons.”
• Advances in Forecasting Under Instability (2012, unknown): “A large literature has focused on empirically testing whether forecasts are actually optimal see Granger and Newbold, 1986, Diebold and Lopez, 1996, Patton and Timmermann (2011), among others.”