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We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracyâ€¦ (More)

- Paul Bekker, G. R. Elliott, Roberto S. Mariano, Carmela Quintos, Tim Vogelsang
- 2005

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentiallyâ€¦ (More)

The nonlinear filters based on Taylor series approximation are broadly used for computational simplicity, even though their filtering estimates are clearly biased. In this paper, first, we analyzeâ€¦ (More)

The Stockâ€“Watson coincident index and its subsequent extensions assume a static linear one-factor model for the component indicators. Such assumption is restrictive in practice, however, with as fewâ€¦ (More)

In the case of U.S. national accounts, the data are revised for the first few years and every decade, which implies that we do not really have the final data. In this paper, we aim to predict theâ€¦ (More)

- Jose A. Lopez, Roberto S. Mariano, Jesus Felipe, Lorenzo Giorgianni
- 1999

Foreign exchange rates are examined using cointegration tests over various time periods linked to regime shifts in central bank behavior. The number of cointegrating vectors varies across theseâ€¦ (More)

- Roberto S. Mariano, BULENT N. GULTEKIN, SULEYMAN OZMUCUR, TAYYEB SHABBIRz
- 2004

ROBERTO S. MARIANO,y BULENT N. GULTEKIN,z SULEYMAN OZMUCUR,*x TAYYEB SHABBIRz and C. EMRE ALPER ySchool of Economics and Social Sciences, Singapore Management University and Department of Economicsâ€¦ (More)

Despite the obvious desirability of formal testing procedures, earlier efforts at assessing the forecast accuracy of an estimated model revolved around the calculation of summary forecast errorâ€¦ (More)

- Roberto S. Mariano, Bulent N. Gultekin
- 2006

The decade of the 1990s was certainly marked by a rather unusual number of financial and economic crises with the Asian Crisis of 1997 as perhaps the most prominent such case. These crises naturallyâ€¦ (More)

- Winston T. H. Koh, Roberto S. Mariano, +4 authors Augustine H. H. Tan
- 2006

In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countriesâ€¦ (More)