Asymptotics for out of sample tests of Granger causality

By Michael W. McCracken. 2007

677 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c0003298d0074cad78e53aead89546bd184b102e

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Citations in the corpus

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2010, positive): “Overall, Figure 7 suggests important structural instabilities in the relationships between the equity premium and 15 economic variables, complementing recent empirical evidence of structural breaks in individual equity premium predictive regression models in Paye and Timmermann (2006) and Rapach and”
Has oil price predicted stock returns for over a century (2015, methodology): “We consider two other measures of forecasting performance, namely, the out-of-sample R 2 (OOS_R) statistic proposed by Campbell and Thompson (2008), and the MSE-F statistic suggested McCracken (2007).”
Predicting market returns using aggregate implied cost of capital (2013, neutral): “However, as pointed out by Clark and McCracken (2001) and McCracken (2007), the Diebold and Mariano (1995) and West (1996) statistic has a nonstandard normal distribution when comparing forecasts from nested models.”
Forecasting oil and stock returns with a Qual VAR using over 150 years of data (2017, methodology): “For this purpose, we use the powerful MSE-F statistic of McCracken (2007), since it is suited for nested models such as ours whereby the Qual VAR nests all its other competitors.”
Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, positive): “2 McCracken (2007) shows that using standard normal critical values for the DMW statistic results in severely undersized tests, with tests of nominal 0.10 size generally having actual size less than 0.02.”
Advances in Forecasting Under Instability (2012, neutral): “Following McCracken (2007) and generalizing his results, Hansen and Timmermann (2012) show that, under the null hypothesis that the parameter on the additional regressors in the large model are zero, the test statistic has the following limit distribution: TP ( )) 2 Z u 1B (u)0 dB (u) Z u 2B (u)0 B…”
Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, neutral): “g, Ferson, Sarkissian, and Simin, 2003). In particular, exploring the economic relevance of technical indicators along additional dimensions reduces the likelihood that the significant predictive ability of technical indicators is a spurious result of excessively searching among meaningless predicto”
Modelling changes in the unconditional variance of long stock return series (2012, methodology): “More recently, Mikosch and Stărică (2004) argued that the so-called ‘integrated GARCH effect’ is caused by the nonstationary behaviour of very long return series. They showed how the long-range dependence in volatility and the IGARCH effect may be explained by neglected deterministic changes in the ”