This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses ... more This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. Particular emphasis is placed on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on the class of test statistics with limiting distributions that are functionals of Gaussian processes. Results of an empirical investigation of the marginal predictive content of money for income are also presented. The second essay outlines a number of approaches to the selection of factor proxies (ob-served variables that proxy unobserved estimated factors) using statistics based on large sample datasets. This approach to factor proxy selection is examined via a small Monte Carlo experiment and a set of prediction experiments, where evidence supporting our proposed methodology is presented. The third essay co...
This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses ... more This dissertation comprises three essays in macroeconomic forecasting. The first essay discusses model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. Particular emphasis is placed on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error on the class of test statistics with limiting distributions that are functionals of Gaussian processes. Results of an empirical investigation of the marginal predictive content of money for income are also presented. The second essay outlines a number of approaches to the selection of factor proxies (ob-served variables that proxy unobserved estimated factors) using statistics based on large sample datasets. This approach to factor proxy selection is examined via a small Monte Carlo experiment and a set of prediction experiments, where evidence supporting our proposed methodology is presented. The third essay co...
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