The good forecasting performance of factor models has been well documented in the literature. While many studies focus … on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at … disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use …

price movements, but they are not necessarily the best suited for forecasting given the multiplicity of known and unknown … more useful for forecasting purposes. Central questions in such stochastic models often revolve around the time …

The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation …-looking rational expectations, the PAC approach strikes a balance between theoretical structure and forecasting accuracy. MUSE …

, delivers improved accuracy relative to those of several macroeconomic models used for short-term forecasting of Canadian output …. The implications of real-time versus pseudo-real-time forecasting are investigated, and the authors find that the choice …