Concepedia

Heteroscedastic Forecast Errors

Heteroscedastic Forecast Errors is a forecast error analysis construct characterized by non-constant variance of prediction errors across different levels of an independent variable or over time, thereby violating the homoscedasticity assumption required for many standard forecasting models.

183

Publications

10K

Citations

317

Authors

217

Institutions

Publications per year

2017–2026

23

Parents

Publications

183

Testing the Rationality of Price Forecasts: New Evidence from Panel Data

Michael P. Keane, David E. Runkle · American Economic Review · 1990 · 506 citations

, , +17

The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors

William H. Beaver, Roger Clarke, William F. Wright · Journal of Accounting Research · 1979 · 472 citations

, , +14

A vector error correction model of the Singapore stock market

Ramin Cooper Maysami, Tiong Sim Koh · International Review of Economics & Finance · 2000 · 449 citations

, , +13

Residual Diagnostics for Cross-section Time Series Regression Models

Christopher F. Baum · The Stata Journal Promoting communications on statistics and Stata · 2001 · 376 citations · Full text

, , +17

Filtering and Forecasting With Misspecified Arch Models I: Getting The Right Variance With The Wrong Model*

Daniel B. Nelson · Elsevier eBooks · 1996 · 260 citations

, , +14

1–5 of 183

Authors

317

  1. WA
    William A. Bomberger

    Florida College, United States

    4 publications · 145 citations

    4

    h-index

  2. DF
    David F. Hendry

    University of Oxford, United Kingdom

    3 publications · 139 citations

    3

    h-index

  3. RB
    Robert Brooks

    Monash University, Australia

    3 publications · 219 citations

    3

    h-index

  4. KL
    Kajal Lahiri

    University at Albany, State University of New York, United States

    3 publications · 141 citations

    3

    h-index

  5. DE
    David E. Runkle

    Federal Reserve Bank of Minneapolis, United States

    3 publications · 763 citations

    3

    h-index

1–5 of 317

Institutions

217

  1. American University

    Washington, United States

    4 h-index

    4 publications

    331 citations

  2. Federal Reserve Board of Governors

    Washington D.C., United States

    4 h-index

    4 publications

    232 citations

  3. Nuffield Foundation

    London, United Kingdom

    4 h-index

    4 publications

    175 citations

  4. Massachusetts Institute of Technology

    Cambridge, United States

    4 h-index

    4 publications

    476 citations

  5. Federal Reserve

    Washington D.C., United States

    4 h-index

    4 publications

    232 citations

  6. University of Southampton

    Southampton, United Kingdom

    3 h-index

    5 publications

    210 citations

  7. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    3 publications

    74 citations

  8. University at Albany, State University of New York

    Albany, United States

    3 h-index

    4 publications

    172 citations

1–8 of 217

Venues

  1. SSRN Electronic Journal

    Repository · 15 publications · 658 citations

    12

    h-index

  2. Journal of Forecasting

    8 publications · 361 citations

    8

    h-index

  3. The Journal of Finance

    6 publications · 240 citations

    6

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 5 publications · 243 citations

    5

    h-index

  5. Applied Economics Letters

    5 publications · 106 citations

    5

    h-index

1–5