In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

hybrid forecasts. Superior forecasting performance is achieved by both, taking into account the conditional expected …

and six quarters, ii) Using disaggregated price data improves forecasting performance, and iii) The factors are related to …