The DOI matches its Crossref record; 53 of the 53 references it cites were found in a registry or an index.
Asymptotics for out of sample tests of Granger causality
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Cites
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
Empirical exchange rate models of the seventies
Meese, R. A., & Rogoff, K. (1983) · Journal of International Economics · doi:10.1016/0022-1996(83)90017-x · Cited by 4,107
Macroeconomic Forecasting Using Diffusion Indexes
Stock, J. H., & Watson, M. W. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102317351921 · Cited by 2,547
Diebold, F. X., & Mariano, R. S. (1995) · Journal of Business and Economic Statistics · doi:10.2307/1392185 · Cited by 2,340
Consumption, Aggregate Wealth, and Expected Stock Returns
Lettau, M., & Ludvigson, S. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00347 · Cited by 2,180
A Reality Check for Data Snooping
White, H. (2000) · Econometrica · doi:10.1111/1468-0262.00152 · Cited by 1,851
Forecasting Economic Time Series
(2000) · The Economic Journal · doi:10.1111/1468-0297.00513 · Cited by 1,768
Tests of Conditional Predictive Ability
Giacomini, R., & White, H. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00718.x · Cited by 1,646
Evaluating Density Forecasts with Applications to Financial Risk Management
Diebold, F. X., Gunther, T. A., & Tay, A. S. (1998) · International Economic Review · doi:10.2307/2527342 · Cited by 1,452
Asymptotic Inference about Predictive Ability
West, K. D. (1996) · Econometrica · doi:10.2307/2171956 · Cited by 1,401
Cited by
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
Forecasting the equity risk premium: the role of technical indicators
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. (2014) · Management Science · doi:10.1287/mnsc.2013.1838 · Cited by 1,003
International Stock Return Predictability: What Is the Role of the United States?
RAPACH, D. E., STRAUSS, J. K., & ZHOU, G. (2013) · The Journal of Finance · doi:10.1111/jofi.12041 · Cited by 678
Diebold, F. X. (2015) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2014.983236 · Cited by 496
Out-of-sample exchange rate predictability with Taylor rule fundamentals
Molodtsova, T., & Papell, D. H. (2009) · Journal of International Economics · doi:10.1016/j.jinteco.2008.11.001 · Cited by 434
Metadata
- Authors
- McCracken, M. W.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2007-10
- Volume
- 140
- Issue
- 2
- Pages
- 719-752
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2038845560
- Cited by
- 696
- References
- 53
- FWCI
- 35.97
- Type
- journal article
- Language
- en
- Open access
- closed
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- McCracken, M. W. (2007). Asymptotics for out of sample tests of Granger causality. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2006.07.020
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
