The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the …

-regression (VAR) based estimation and testing procedure that relies on inverting identification-robust multivariate statistics. The …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

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 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 …

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 …

yield considerable improvements over naïve AR benchmarks. We also analyze pooling across forecasting methodologies. We find …

benchmarks. More data does not necessarily improve forecasting accuracy: For the factor model, adding monthly indicators from … national economies can lead to more uneven forecasting accuracy, notably when forecasting components of euro area GDP during … more difficulties beating the PMI model, with relatively large errors in forecasting some countries or components of euro …

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area …