Comparing Predictive Accuracy I: An Asymptotic Test

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Combining forecasts: A review and annotated bibliography

1990 • 1,537 citations

Econometric Evaluation of Linear Macro-Economic Models

1986 • 597 citations

Economic Forecast Evaluation: Profits versus the Conventional Error Measures

1991 • 469 citations

Comparing Information in Forecasts from Econometric Models

1990 • 446 citations

Can the Markov switching model forecast exchange rates?

1994 • 435 citations

A utility-based comparison of some models of exchange rate volatility

1993 • 361 citations

Vector autoregression and causality

1991 • 285 citations

Unit roots in real GNP: Do we know, and do we care?

1990 • 257 citations

Trends and Random Walks in Macroeconomic Time Series: A Re-Examination

1992 • 160 citations

Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration

1992 • 153 citations

Forecast combination and encompassing: Reconciling two divergent literatures

1989 • 120 citations

Notes on Testing the Predictive Performance of Econometric Models

1974 • 51 citations

Random Walk of Stock Prices: A Test of the Variance-Time Function

1971 • 19 citations