[1] Andrews, D.W.K., 1991, âHeteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation,â Econometrica, 59, 817-858.
- [10] Chow, G.C., 1960, âTest of Equality Between Sets of Coeïcients in Two Linear Regressions, â Econometrica, 28, 591-605.
Paper not yet in RePEc: Add citation now
[11] Christoïersen. P.F., and F.X. Diebold, 1997, âOptimal Prediction Under Asymmetric Loss,â Econometric Theory, 13, 808-817.
[12] Clarida, R., J. Gali, and M. Gertler, 2000, âMonetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,â Quarterly Journal of Economics, February, 147180.
[13] Clements, M.P., and D.F. Hendry, 1998, Forecasting Economic Time Series. United Kingdom: Cambridge University Press.
[14] Croushore, D., 1993, âIntroducing: The Survey of Professional Forecasters,â Federal Reserve Bank of Philadelphia Business Review, November/December, 3-13.
[15] Croushore, D. and T. Stark, 2000, âA Funny Thing Happened On the Way to the Data Bank: A Real-Time Data Set for Macroeconomists,â Federal Reserve Bank of Philadelphia Business Review, September/October, 15-27.
[16] Croushore, D. and T. Stark, 2002, âForecasting with a Real-Time Data Set for Macroeconomists, â Journal of Macroeconomics, 24, 507-531.
- [17] Cochrane, J.H., 2004, Comments on âA New Measure of Monetary Shocks: Deviations and Implicationsâ by C.D. Romer and D.H. Romer, NBER EFG meeting, July.
Paper not yet in RePEc: Add citation now
[18] Deutsch, M., and C.W.J. Granger, 1992, âComments on the Evaluation of Policy Models, â Journal of Policy Modelling, 14, 497-516.
[19] Diebold, F.X., T.A. Gunther, and A.S. Tay, 1998. âEvaluating Density Forecasts with Applications to Financial Risk Management,â International Economic Review, 39, 863883.
[2] Auerbach, A.J., 1999, âOn the Performance and Use of Government Revenue Forecasts,â National Tax Journal, December, 767-782.
[20] Elliott, G., I. Komunjer, and A. Timmermann, 2004, âBiases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?,â manuscript, UCSD.
[21] Elliott, G., I. Komunjer, and A. Timmermann, 2005, âEstimation and Testing of Forecast Rationality under Flexible Loss,â Forthcoming, Review of Economics Studies.
[22] Elliott, G. and A. Timmermann, 2004, âOptimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions,â Journal of Econometrics, 122, 47-79.
[23] Engle, R.F., D.M. Lilien, and R.P. Robins, 1987, âEstimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model,â Econometrica, 55, 391-407.
[24] Fair, R.C. and R.J. Shiller, 1989, âThe Informational Content of Ex Ante Forecasts,â Review of Economics and Statistics, 71, 325â331.
[25] Gavin, W.T. and R.J. Mandal, 2001, âForecasting Inïation and Growth: Do Private Forecasts Match those of Policy-makers?,â Business Economics, 36, 13-20.
[27] Granger, C.W.J., 1999, âOutline of Forecast Theory using Generalized Cost Functions,â Spanish Economic Review, 1, 161-173.
[28] Granger, C.W.J. and P. Newbold, 1986, Forecasting Economic Time Series. 2nd Edition. New York: Academic Press.
- [29] Granger, C.W.J. and H.M. Pesaran, 2000, âEconomic and Statistical Measures of Forecast Accuracy,â Journal of Forecasting, 19, 537-560.
Paper not yet in RePEc: Add citation now
[3] Bai, J., and P. Perron, 1998, âEstimating and Testing Linear Models with Multiple Structural Changes,â Econometrica, 66, 47-78.
- [30] Granger, C.W.J. and R. Ramanathan, 1984, âImproved Methods of Combining Forecasts, â Journal of Forecasting, 3, 197-204.
Paper not yet in RePEc: Add citation now
[31] Greenspan, A., 2003, Risk and Uncertainty in Monetary Policy. Remarks at the Meetings of the American Economic Association, San Diego, California.
[32] Gurkaynak, R.S., B. Sack, and E. Swanson, 2005, âThe Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models,â American Economic Review, 95, 425-436.
- [33] Hamilton, J.D., 1994, Time Series Analysis. Princeton: Princeton University Press.
Paper not yet in RePEc: Add citation now
[34] Hansen, L., 1982, âLarge Sample Properties of Generalized Method of Moments Estimators, â Econometrica, 50, 1029-1054.
[35] Keane, M.P. and D.E. Runkle, 1990, âTesting the Rationality of Price Forecasts: New Evidence From Panel Data,â American Economic Review, 80, 714-735.
[36] Leitch, G. and J.E. Tanner, 1991, âEconomic Forecast Evaluation: Proïts versus the Conventional Error Measures,â American Economic Review, 81, 580-590.
[37] Mankiw, G.N., R. Reis, and J. Wolfers, 2003, âDisagreement about Inïation Expectations, â in: M.Gertler and K. Rogoï (eds.) NBER Macroeconomics Annual 2003. Cambridge: The MIT Press.
- [38] Meyer, L., 2004, A Term at the Fed: An Insiderâs View. New York: HarperBusiness.
Paper not yet in RePEc: Add citation now
[39] Mincer, J. and V. Zarnowitz, 1969, âThe Evaluation of Economic Forecasts,â in: J. Mincer (ed.) Economic Forecasts and Expectations. New York: National Bureau of Economic Research.
[4] Bai, J. and P. Perron, 2003, âComputation and Analysis of Multiple Structural Change Models,â Journal of Applied Econometrics, 18, 1-22.
[40] Mishkin, F.S., 1981, âAre Market Forecasts Rational?â American Economic Review, 71, 295-306.
- [41] Mishkin, F.S., 2001, The Economics of Money, Banking and Financial Markets, 6th Edition. Reading:Addison-Wesley.
Paper not yet in RePEc: Add citation now
- [42] Muth, J.F., 1961, âRational Expectations and the Theory of Price Movements,â Econometrica, 29, 315-335.
Paper not yet in RePEc: Add citation now
[43] Newey, W., and J. Powell, 1987, âAsymmetric Least Squares Estimation and Testing,â Econometrica, 55, 819-847.
[44] Newey, W. and K. West, 1987, âA Simple Positive Semi-deïnite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,â Econometrica, 55, 703-708.
[45] Nobay, R.A., and D.A. Peel, 2003, âOptimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences,â The Economic Journal, 113, 657-665.
- [46] Orphanides, A., 2002, âMonetary Policy Rules and the Great Inïation,â American Economic Review Papers and Proceedings, 92, 115-120.
Paper not yet in RePEc: Add citation now
[47] Patton, A. and A. Timmermann, 2004, âProperties of Optimal Forecasts under Asymmetric Loss and Nonlinearity.â Manuscript, UCSD.
[48] Primiceri, G.E., 2003, âWhy Inïation Rose and Fell: Policymakerâs Beliefs and US Postwar Stabilization Policy,â Manuscript, Princeton University.
- [49] Rich, R. and J. Tracy, 2003, âModeling Uncertainty: Predictive Accuracy as a Proxy for Predictive Conïdence,â Federal Reserve Bank of New York Staï Reports, no. 161.
Paper not yet in RePEc: Add citation now
[5] Batchelor, R. and D.A. Peel, 1998, âRationality Testing Under Asymmetric Loss,â Economics Letters, 61, 49-54.
[50] Romer, C.D. and D.H. Romer, 2000, âFederal Reserve Information and the Behavior of Interest Rates,â American Economic Review, 90, 429-457.
[51] Romer, C.D. and D.H. Romer, 2004, âChoosing the Federal Reserve Chair: Lessons from History,â Journal of Economic Perspectives, 18, 129-162.
[52] Ruge-Murcia, F.J., 2000, âUncovering Financial Marketsâ Beliefs about Inïation Targets, â Journal of Applied Econometrics, 15, 483-512.
[53] Ruge-Murcia, F.J., 2003, âInïation Targeting Under Asymmetric Preferences,â Journal of Money, Credit and Banking, 35, 763-785.
[54] Sims, C.A., 2002, âThe Role of Models and Probabilities in the Monetary Policy Process, â Brookings Papers on Economic Activity, 2, 1-62.
[56] Stock, J.H., J.H. Wright, and M.Yogo, 2002, âA Survey of Weak Instruments and Weak Identiïcation in Generalized Method of Moments,â Journal of Business and Economic Statistics, 20, 518-529.
- [57] Svensson, L.E.O., 1997, âInïation Forecast Targeting: Implementing and Monitoring Inïation Targets,â European Economic Review, 41, 1111-1146.
Paper not yet in RePEc: Add citation now
- [58] Varian, H., 1974, âA Bayesian Approach to Real Estate Assessment,â in S.E. Fienberg and A. Zellner (eds.), Studies in Bayesian Econometrics and Statistics in Honor of L.F. Savage, 195-208. Amsterdan: Noth-Holland.
Paper not yet in RePEc: Add citation now
[59] Walsh, C.E., 2003, Monetary Theory and Policy, 2nd Edition. Cambridge: MIT Press.
- [6] Bernanke, B.S., and M. Woodford, 1997, âInïation Forecasts and Monetary Policy,â Journal of Money, Credit and Banking, 24, 653-684.
Paper not yet in RePEc: Add citation now
- [60] Woodford, M., 2003, Interest and Prices. Foundations of a Theory of Monetary Policy. Princeton: Princeton University Press.
Paper not yet in RePEc: Add citation now
[61] Zarnowitz, V., 1985, âRational Expectations and Macroeconomic Forecasts,â Journal of Business and Economic Statistics, 3, 293-311.
[62] Zarnowitz, V. and P. Braun, 1992, âTwenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance,â NBER working paper 3965.
[63] Zellner, A., 1986, âBiased Predictors, Rationality and the Evaluation of Forecasts,â Economics Letters, 21, 45-48.
- [7] Blinder, A.S., 1998, Central Banking in Theory and Practice. Cambridge: MIT Press.
Paper not yet in RePEc: Add citation now
- [8] Cavanagh, C.L., G. Elliott, and J.H. Stock, 1995, âInference in Models with Nearly Nonstationary Regressors,â Econometric Theory, 11, 1131-1141.
Paper not yet in RePEc: Add citation now