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Details about Barbara Rossi

E-mail:
Homepage:http://www.econ.upf.edu/~brossi/
Postal address:Barbara Rossi Centre de Recerca en Economia Internacional (CREI) Universitat Pompeu Fabra (UPF) carrer Ramon Trias Fargas, 25-27, Mercè Rodoreda bldg. 08005 Barcelona SPAIN
Workplace:Departament d'Economia i Empresa (Department of Economics and Business), Universitat Pompeu Fabra (Pompeu Fabra University), Barcelona Graduate School of Economics (Barcelona GSE), (more information at EDIRC)
Centre de Recerca en Economia Internacional (CREI) (Center for Research in International Economics (CREI)), Barcelona Graduate School of Economics (Barcelona GSE), (more information at EDIRC)

Access statistics for papers by Barbara Rossi.

Last updated 2017-04-17. Update your information in the RePEc Author Service.

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Working Papers

2017

  1. Identifying the sources of model misspecification
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (4)
    Also in Working Papers, Barcelona Graduate School of Economics (2015) Downloads View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads
  2. Understanding the sources of macroeconomic uncertainty
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (9)
    Working Papers, Barcelona Graduate School of Economics (2016) Downloads View citations (9)

2016

  1. Alternative tests for correct specification of conditional predictive densities
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads
    Also in Working Papers, Barcelona Graduate School of Economics (2015) Downloads View citations (2)
  2. Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) Downloads View citations (3)
    Working Papers, Barcelona Graduate School of Economics (2014) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2016)
  3. In-sample Inference and Forecasting in Misspecified Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) Downloads View citations (3)
  4. Rolling window selection for out-of-sample forecasting with time-varying parameters
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    Also in Working Papers, Barcelona Graduate School of Economics (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2017)

2015

  1. Can Oil Prices Forecast Exchange Rates?
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (25)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (4)
    Working Papers, Duke University, Department of Economics (2011) Downloads View citations (23)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (4)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) Downloads View citations (4)
  2. Heterogeneous Consumers and Fiscal Policy Shocks
    Working Papers, Barcelona Graduate School of Economics Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (11)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) Downloads
    2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (3)
  3. Macroeconomic Uncertainty Indices for the Euro Area and Individual Member Countries
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (19)
  4. Macroeconomic uncertainty indices based on nowcast and forecast error distributions
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (26)
    See also Journal Article in American Economic Review (2015)
  5. Model comparisons in unstable environments
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in Working Papers, Duke University, Department of Economics (2010) Downloads View citations (9)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (1)
    Working Papers, Barcelona Graduate School of Economics (2014) Downloads View citations (1)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (4)

    See also Journal Article in International Economic Review (2016)
  6. Tests for the validity of portfolio or group choice in financial and panel regressions
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

2014

  1. Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
    Working Papers, Barcelona Graduate School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) Downloads

    See also Journal Article in Annual Review of Economics (2015)
  2. Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)

2013

  1. Conditional Predictive Density Evaluation in the Presence of Instabilities
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (9)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2013)
  2. Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)
  3. Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set
    Working Papers, Barcelona Graduate School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (1)

    See also Journal Article in International Journal of Forecasting (2014)
  4. Exchange Rate Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (82)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (82)
    Working Papers, Barcelona Graduate School of Economics (2013) Downloads View citations (80)

    See also Journal Article in Journal of Economic Literature (2013)

2012

  1. Out-of-sample forecast tests robust to the choice of window size
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (38)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (3)
  2. The changing relationship between commodity prices and equity prices in commodity exporting
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (3)

2011

  1. Advances in Forecasting Under Instability
    Working Papers, Duke University, Department of Economics Downloads View citations (3)
    See also Chapter (2013)
  2. Forecast Optimality Tests in the Presence of Instabilities
    Working Papers, Duke University, Department of Economics Downloads View citations (8)
  3. Out-of-Sample Forecast Tests Robust to Window Size Choice
    Working Papers, Duke University, Department of Economics Downloads View citations (6)
  4. What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?
    Working Papers, Duke University, Department of Economics Downloads View citations (24)
    See also Journal Article in Journal of Money, Credit and Banking (2011)

2010

  1. Can Exchange Rates Forecast Commodity Prices?
    Working Papers, Duke University, Department of Economics Downloads View citations (110)
    Also in Scholarly Articles, Harvard University Department of Economics (2010) Downloads View citations (126)
    2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (7)
    Working Papers, Duke University, Department of Economics (2008) Downloads View citations (55)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (24)
    Working Papers, University of Washington, Department of Economics (2009) Downloads View citations (6)

    See also Journal Article in The Quarterly Journal of Economics (2010)
  2. Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?
    Working Papers, Duke University, Department of Economics Downloads View citations (12)
    Also in Working Papers, Duke University, Department of Economics (2008) Downloads View citations (12)
  3. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
    Working Papers, Duke University, Department of Economics Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2007) Downloads View citations (19)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) Downloads View citations (29)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (2)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2009) Downloads View citations (2)
  4. Testing for Weak Identification in Possibly Nonlinear Models
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2011)
  5. Understanding Models' Forecasting Performance
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  2. Model Selection in Unstable Environments
    2009 Meeting Papers, Society for Economic Dynamics
  3. Predicting Agri-Commodity Prices: an Asset Pricing Approach
    Working Papers, University of Washington, Department of Economics Downloads View citations (1)

2008

  1. Forecast Comparisons in Unstable Environments
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    See also Journal Article in Journal of Applied Econometrics (2010)
  2. Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
    Working Papers, Duke University, Department of Economics Downloads View citations (4)

2007

  1. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (13)

2006

  1. Detecting and Predicting Forecast Breakdowns
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    Also in UCLA Economics Working Papers, UCLA Department of Economics (2005) Downloads View citations (8)

    See also Journal Article in Review of Economic Studies (2009)
  2. Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
    Working Papers, Duke University, Department of Economics Downloads
    Also in Emory Economics, Department of Economics, Emory University (Atlanta) (2006) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2007)

2005

  1. Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
    International Finance, EconWPA Downloads View citations (6)
    Also in Data, EconWPA (2005) Downloads View citations (4)

    See also Journal Article in Macroeconomic Dynamics (2006)
  2. Expectations Hypotheses Tests and Predictive Regressions at Long Horizons
    Working Papers, Duke University, Department of Economics Downloads
  3. How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
  4. Monitoring and Forecasting Currency Crises
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2008)

2004

  1. Do Technology Shocks Drive Hours Up or Down?
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (5)
  2. Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure
    Econometrics, EconWPA Downloads
    Also in Working Papers, Duke University, Department of Economics (2003) Downloads View citations (2)
    Emory Economics, Department of Economics, Emory University (Atlanta) (2003) Downloads View citations (2)

    See also Journal Article in Macroeconomic Dynamics (2005)
  3. Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2003) Downloads View citations (5)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads

    See also Journal Article in Journal of Applied Econometrics (2006)

2003

  1. Recursive Predictability Tests for Real-Time Data
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2002

  1. Confidence Intervals for Half-life Deviations from Purchasing Power Parity
    Working Papers, Duke University, Department of Economics Downloads View citations (14)
    See also Journal Article in Journal of Business & Economic Statistics (2005)
  2. Optimal Tests for Nested Model Selection with Underlying Parameter Instability
    Working Papers, Duke University, Department of Economics Downloads View citations (10)
    See also Journal Article in Econometric Theory (2005)
  3. Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    See also Journal Article in International Economic Review (2005)

Journal Articles

2017

  1. Rolling window selection for out-of-sample forecasting with time-varying parameters
    Journal of Econometrics, 2017, 196, (1), 55-67 Downloads View citations (1)
    See also Working Paper (2016)

2016

  1. Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts
    Journal of Applied Econometrics, 2016, 31, (3), 507-532 Downloads
    See also Working Paper (2016)
  2. MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS
    International Economic Review, 2016, 57, 369-392 Downloads
    See also Working Paper (2015)

2015

  1. Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
    Journal of International Money and Finance, 2015, 54, (C), 116-141 Downloads View citations (11)
  2. Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models
    Annual Review of Economics, 2015, 7, (1), 207-229 Downloads
    See also Working Paper (2014)
  3. Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
    American Economic Review, 2015, 105, (5), 650-55 Downloads View citations (26)
    See also Working Paper (2015)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (4), 510-514 Downloads
  2. Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set
    International Journal of Forecasting, 2014, 30, (3), 662-682 Downloads View citations (11)
    See also Working Paper (2013)

2013

  1. Comment
    NBER International Seminar on Macroeconomics, 2013, 9, (1), 106 - 116 Downloads
  2. Conditional predictive density evaluation in the presence of instabilities
    Journal of Econometrics, 2013, 177, (2), 199-212 Downloads View citations (11)
    See also Working Paper (2013)
  3. Exchange Rate Predictability
    Journal of Economic Literature, 2013, 51, (4), 1063-1119 Downloads View citations (83)
    See also Working Paper (2013)

2011

  1. Comment
    Journal of Business & Economic Statistics, 2011, 30, (1), 25-29 Downloads
  2. Identifying the Sources of Instabilities in Macroeconomic Fluctuations
    The Review of Economics and Statistics, 2011, 93, (4), 1186-1204 Downloads View citations (36)
  3. Testing for weak identification in possibly nonlinear models
    Journal of Econometrics, 2011, 161, (2), 246-261 Downloads View citations (6)
    See also Working Paper (2010)
  4. Understanding models' forecasting performance
    Journal of Econometrics, 2011, 164, (1), 158-172 Downloads View citations (14)
    See also Working Paper (2010)
  5. What Is the Importance of Monetary and Fiscal Shocks in Explaining U.S. Macroeconomic Fluctuations?
    Journal of Money, Credit and Banking, 2011, 43, (6), 1247-1270 Downloads View citations (25)
    See also Working Paper (2011)

2010

  1. Can Exchange Rates Forecast Commodity Prices?
    The Quarterly Journal of Economics, 2010, 125, (3), 1145-1194 Downloads View citations (114)
    See also Working Paper (2010)
  2. Forecast comparisons in unstable environments
    Journal of Applied Econometrics, 2010, 25, (4), 595-620 Downloads View citations (98)
    See also Working Paper (2008)
  3. Have economic models' forecasting performance for US output growth and inflation changed over time, and when?
    International Journal of Forecasting, 2010, 26, (4), 808-835 Downloads View citations (33)

2009

  1. Detecting and Predicting Forecast Breakdowns
    Review of Economic Studies, 2009, 76, (2), 669-705 Downloads View citations (44)
    See also Working Paper (2006)

2008

  1. Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-specified Models
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893 Downloads View citations (3)
  2. Monitoring and Forecasting Currency Crises
    Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 Downloads View citations (6)
    See also Working Paper (2005)

2007

  1. Expectations hypotheses tests at Long Horizons
    Econometrics Journal, 2007, 10, (3), 554-579 Downloads View citations (16)
  2. Impulse response confidence intervals for persistent data: What have we learned?
    Journal of Economic Dynamics and Control, 2007, 31, (7), 2398-2412 Downloads View citations (4)
    See also Working Paper (2006)

2006

  1. ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
    Macroeconomic Dynamics, 2006, 10, (01), 20-38 Downloads View citations (75)
    See also Working Paper (2005)
  2. How Stable is the Forecasting Performance of the Yield Curve for Output Growth?
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 Downloads View citations (43)
    See also Working Paper (2005)
  3. Small-sample confidence intervals for multivariate impulse response functions at long horizons
    Journal of Applied Econometrics, 2006, 21, (8), 1135-1155 Downloads View citations (11)
    See also Working Paper (2004)

2005

  1. Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
    Journal of Business & Economic Statistics, 2005, 23, 432-442 Downloads View citations (66)
    See also Working Paper (2002)
  2. DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
    Macroeconomic Dynamics, 2005, 9, (04), 478-488 Downloads View citations (12)
    See also Working Paper (2004)
  3. OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
    Econometric Theory, 2005, 21, (05), 962-990 Downloads View citations (43)
    See also Working Paper (2002)
  4. Recursive Predictability Tests for Real-Time Data
    Journal of Business & Economic Statistics, 2005, 23, 336-345 Downloads View citations (19)
    See also Working Paper (2003)
  5. TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE
    International Economic Review, 2005, 46, (1), 61-92 Downloads View citations (54)
    See also Working Paper (2002)

Chapters

2013

  1. Advances in Forecasting under Instability
    Elsevier Downloads View citations (7)
    See also Working Paper (2011)
  2. Forecasting in macroeconomics
    Chapter 17 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 381-408 Downloads View citations (2)

2012

  1. Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
    A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 106-116 Downloads

2008

  1. Comment on "Exchange Rate Models Are Not As Bad As You Think"
    A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 453-470 Downloads View citations (3)

Software Items

2016

  1. FOREC_INSTAB: Stata module to perform forecast comparison and forecast rationality tests
    Statistical Software Components, Boston College Department of Economics Downloads
 
Page updated 2017-06-28