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The article (Journal of Money, Credit, and Banking, Supplement to Vol. 39, No. 1 (February 2007)) contains errors in Figures 2–4 and Tables 4–5, associated with a coding error in our program for estimating the UC-SV model. We thank Ling Hu of Platinum Grove Asset Management for finding this error and bringing it to our attention. The corrected UC-SV rows for Tables 4 and 5 are given below. Corrected versions of Figures 2–4 and corrected replication files can be found at http://www.princeton.edu/~mwatson.

Table 4.  Pseudo Out-of-Sample Forecasting Performance of Additional Univariate Models: MSFEs, Relative to AR(AIC), GDP Inflation Corrected Row
Model1970:I = 1983:IV1984:I–2004:IV
h = 1h = 2h = 4h = 8h = 1h = 2h = 4h = 8
UC-SV, γ= 0.20.810.840.870.871.011.020.970.88
Table 5.  Four-Quarter Ahead Pseudo Out-of-Sample Relative MSFEs [Recursive AR(AIC) = 1.00] Corrected Row
ModelPCE-corePCE-allCPI
1970:I–1983:IV1984:I–2004:IV1970:I–1983:IV1984:I–2004:IV1970:I–1983:IV1984:I–2004:IV
UC-SV, γ= 0.20.890.840.880.770.880.86