Arnostova, Katerina; Havrlant, David; Rùžièka, Luboš; … - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 6, pp. 566-583
The authors evaluate the out-of-sample forecasting performance of six competing models at horizons of up to three quarters ahead in a pseudo-real time setup. All the models use information in monthly indicators released ahead of quarterly GDP. The authors estimate two models – averaged vector...