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Annals issue on forecasting — guest editors’ introduction

By João Victor Issler, Oliver Linton and Allan Timmermann

Abstract

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

Topics: GE Environmental Sciences, HC Economic History and Conditions
Publisher: Elsevier
Year: 2011
DOI identifier: 10.1016/j.jeconom.2011.02.015
OAI identifier: oai:eprints.lse.ac.uk:37768
Provided by: LSE Research Online
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