This paper reestimates the simple forecasting regressions in Carroll, Fuhrer, and Wilcox (1993) (CFW), which … inappropriate when variables lagged one period are used in the forecasting equation. I reestimate the forecasting regressions using … indicators as controls in the forecasting regression. These changes produce notable qualitative differences with the results …

forecasting variables. ; Why should wealth, detrended in this way, forecast asset returns? We show that a wide class of optimal …

dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast … pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, Forecasting, Consumption …