This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic …-of-sample forecasting performance of these models against VAR models fitted to the same da …

produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …

We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non … distinguished, compounding the four additional mistakes most likely in estimated forecasting models. Structural breaks, rather than … limited information, are the key problem, exacerbated by conflicting requirements on `forecast-error corrections'. We consider …

hampering efforts at prediction. In this paper, we present a unified framework for forecasting the global electronics cycle by … indicators. An evaluation of their relative accuracy suggests that the VAR model's forecasting performance is superior to that of …

, which should be manifested, possibly with a lag, in both producer and consumer prices. We build a forecasting model based on … interest rates and unemployment. Our results indicate that improvements on the forecast accuracy can be effected when one takes …

irrational or the loss function is asymmetric. We propose new and more general methods for testing forecast rationality jointly …