Forecasts of US short-term interest rates: A flexible forecast combination approach

Ait-Sahalia, 1996, Testing continuous-time models of the spot interest rate, Review of Financial Studies, 9, 385, 10.1093/rfs/9.2.385 Aiolfi, 2006, Persistence of forecasting performance and combination strategies, Journal of Econometrics, 135, 31, 10.1016/j.jeconom.2005.07.015 Ang, 2002, Short rate nonlinearities and regime switches, Journal of Economic Dynamics and Control, 26, 1243, 10.1016/S0165-1889(01)00042-2 Ang, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics, 50, 745, 10.1016/S0304-3932(03)00032-1 Bansal, 2004, Regime-shifts, risk premiums in the term structure, and the business cycle, Journal of Business and Economic Statistics, 22, 396, 10.1198/073500104000000398 Bates, 1969, The combination of forecasts, Operations Research Quarterly, 20, 451, 10.1057/jors.1969.103 Campbell, 1991, Yield spreads and interest rate movements: A bird’s eye view, Review of Economic Studies, 58, 495, 10.2307/2298008 Clark, 2001, Tests of forecast accuracy and encompassing for nested models, Journal of Econometrics, 105, 85, 10.1016/S0304-4076(01)00071-9 Dai, Q., Philippon, T., 2004. Fiscal policy and the term structure of interest rates. NBER working paper No. 11574 Deutsch, 1994, The combination of forecasts using changing weights, International Journal of Forecasting, 10, 47, 10.1016/0169-2070(94)90049-3 Diebold, 2000, Unit root tests are useful for selecting forecasting models, Journal of Business and Economics Statistics, 18, 265, 10.2307/1392260 Diebold, 1996, Forecast evaluation and combination, 10.1016/S0169-7161(96)14010-4 Diebold, 1995, Comparing predictive accuracy, Journal of Business and Economic Statistics, 13, 253, 10.2307/1392185 Diebold, 1987, Structural change and the combination of forecasts, Journal of Forecasting, 6, 21, 10.1002/for.3980060103 Diebold, 2006, The macroeconomy and the yield curve: A dynamic latent factor approach, Journal of Econometrics, 131, 309, 10.1016/j.jeconom.2005.01.011 Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426 Egorov, A., Hong, Y., Li, H., 2005. Forecasting the joint probability density of bond yields: Can affine models beat random walk?. mimeo, Cornell University Elliott, 2005, Optimal forecast combination weights under regime switching, International Economic Review, 46, 1081, 10.1111/j.1468-2354.2005.00361.x Fama, 1984, Forward and spot exchange rates, Journal of Monetary Economics, 14, 319, 10.1016/0304-3932(84)90046-1 Granger, 1993 Gray, 1996, Modeling the conditional distribution of interest rates as a regime-switching process, Journal of Financial Economics, 42, 27, 10.1016/0304-405X(96)00875-6 Hall, 1992, A cointegration analysis of treasury bill yields, Review of Economics and Statistics, 74, 116, 10.2307/2109549 Hamilton, 1988, Rational expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates, Journal of Economic Dynamics and Control, 12, 385, 10.1016/0165-1889(88)90047-4 Kilian, 1999, Exchange rates and monetary fundamentals: What do we learn from long-horizon regressions?, Journal of Applied Econometrics, 14, 491, 10.1002/(SICI)1099-1255(199909/10)14:5<491::AID-JAE527>3.0.CO;2-D Rudebusch, G., Wu, T., 2004. A macro-finance model of the term structure. Monetary Policy and the Economy. Mimeo, Federal Reserve Bank of St. Francisco Sola, 1994, Testing the term structure of interest rates using a stationary vector autoregression with regime switching, Journal of Economic Dynamics and Control, 18, 601, 10.1016/0165-1889(94)90025-6 Stock, 2001, A comparison of linear and nonlinear univariate models for forecasting macroeconomic time Series, 1 Stock, 2005, Combination forecasts of output growth in a seven-country data set, Journal of Forecasting, 23, 405, 10.1002/for.928 Timmermann, 2006, Forecast combinations, 135, 10.1016/S1574-0706(05)01004-9