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Journal Article
Predicting velocity growth: a time series perspective

Review , Volume 65 , Issue Oct , Pages 34-43

Journal Article
Real world risk and financial institutions

Economic Review , Issue Win , Pages 5-11

Working Paper
Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis

For years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. Since the publication of the classic Lucas (1976) critique, researchers have endeavored to specify models that capture the underlying dynamic decision-making behavior of consumers and firms who require forecasts of future events. By uncovering "deep" structural parameters that characterize these fundamental behaviors, and by explicitly modeling expectations, it is argued one can capture the dependence of agents' behavior on the functions describing policy. However, relatively little effort ...
Working Papers , Paper 99-4

Working Paper
Moving endpoints and the internal consistency of agents' ex ante forecasts

Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run "endpoints"--fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of "moving endpoint" time series models provide substantially improved tracking of the historical term structure and generally support the ...
Research Working Paper , Paper 97-01

Working Paper
Tests of equal forecast accuracy for overlapping models

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (1989). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an out-of-sample version of the two-step testing procedure recommended by Vuong but also show that an exact one-step procedure is sometimes applicable. When the models are overlapping, we provide a simple-to-use fixed regressor wild bootstrap ...
Working Papers , Paper 2011-024

Journal Article
Forecasting the economy with mathematical models: is it worth the effort?

Business Review , Issue Jul , Pages 15-25

Working Paper
Forecast-heterogeneity in the business cycle: small deviations from rationality, large dynamic effects

Finance and Economics Discussion Series , Paper 93-2

Working Paper
The information content of regional employment data for forecasting aggregate conditions

We consider whether disaggregated data enhances the efficiency of aggregate employment forecasts. We find that incorporating spatial interaction into a disaggregated forecasting model lowers the out-of-sample mean-squared-error from a univariate aggregate model by 70 percent at a two-year horizon.
Working Papers , Paper 2004-005

Journal Article
Predicting interest rates: a comparison of professional and market- based forecasts

Review , Issue Mar , Pages 9-15

Journal Article
Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics? models for two currencies, the Deutsche mark and the Japanese yen. Although the GARCH and RiskMetrics? models appear to have an inconsistent marginal edge over the genetic program using the mean-squared-error (MSE) and R2 criteria, the genetic program consistently produces lower mean absolute forecast errors (MAE) at all horizons and for both currencies.
Review , Volume 84 , Issue May , Pages 43-54



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Clark, Todd E. 20 items

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