We defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer.  Our argument …

forecasting, economic analyses of efficient markets, inter-temporal derivations, and general-to-specific model selection, tackling … major difficulties confronting forecasting. …

shifts, there is no reduction in forecast failure from forecasting unmodeled variables relative to omitting them in 1-step or …

When breaks occur, equilibrium-correction models (EqCMs) based on cointegration face forecasting problems.  We …

inflation forecasting.  The model generalises to unobserved component models where Gaussian shocks are replaced by martingale …

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal …-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases.  Forecasting US GDP over 1-, 4 … for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases …

triangle.  It is shown that methods for forecasting non-stationary time series are helpful.  We illustrate the method using …