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Annals issue on forecasting — guest editors’ introduction

Issler, João Victor, Linton, Oliver and Timmermann, Allan (2011) Annals issue on forecasting — guest editors’ introduction. Journal of Econometrics, 164 (1). pp. 1-3. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2011.02.015


A conference titled 'Forecasting in Rio' was held at the Graduate School of Economics of Getulio Vargas Foundation, Rio de Janeiro, Brazil, in July 2008 to focus on most recent developments in forecasting. One of the papers presented during the conference was titled, 'Predictability of Stock Returns and Asset Allocation under Structural Breaks', which focused on the issue of predictability of equity returns in the presence of structural breaks. The paper 'A Semiparametric Panel Model for Climate Change in the United Kingdom', by Atak, Linton, and Xiao proposed a semiparametric panel-data model applied to a climate change problem focused on temperatures. The model allows for deterministic seasonality and for unbalanced and/or internally missing data. Another paper, 'Model Selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions,' focused on the determination of lag length, dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria.

Item Type: Article
Official URL:
Additional Information: © 2011 Elsevier
Divisions: Economics
Financial Markets Group
Subjects: G Geography. Anthropology. Recreation > GE Environmental Sciences
H Social Sciences > HC Economic History and Conditions
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
D - Microeconomics > D2 - Production and Organizations > D24 - Production; Cost; Capital and Total Factor Productivity; Capacity
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Research centres and groups > Financial Markets Group (FMG)
Date Deposited: 08 Aug 2011 15:48
Last Modified: 20 Feb 2021 04:38

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