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RESEARCH |
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PUBLICATIONS: Comparing
Density Forecasts via Weighted Likelihood Ratio Tests (2007), with
Gianni Amisano, Journal of Business and Economic Statistics, 25, 177-190 Tests of Conditional Predictive Ability (2006), with Halbert White, Econometrica, 74, 1545-1578 Appendix with
additional empirical results How
Stable is the Forecasting Performance of the Yield Curve for Output Growth? (2006), with Barbara Rossi, Evaluation and
Combination of Conditional Quantile Forecasts (2005), with
Ivana Komunjer, Journal of Business and
Economic Statistics, 23, 416-431 Aggregation
of Space-Time Processes (2004), with Clive W. J. Granger, Journal of Econometrics, 118, 7-26 |
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PAPERS UNDER REVISION: Detecting
and Predicting Forecast Breakdowns (2005), with Barbara Rossi (revise and
resubmit Review of Economic Studies) Hypernormal Densities (2002), with Andreas
Gottschling, Christian Haefke and Halbert White (revise
and resubmit Journal of Econometrics) A Warp-Speed
Method for Conducting Monte Carlo Experiments Involving Bootstrap Estimators (2007) with Dimitris Politis and Halbert White |
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WORKING PAPERS: Model Selection and Forecast Comparison in Unstable
Environments, with Barbara
Rossi The Value of Theory for Macroeconomic and Financial
Forecasting, with Gianni Amisano Predicting |
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