policymaker’s preferences, and the forecasting horizons. JEL Classification: E44, E58, F01, F37, G01 …

We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs …

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset … (2002a, 2002b) and Forni et al. (2005). Third, a rolling out of sample forecast comparison exercise is carried out on nine … that incorporating survey and external trade information improves the forecast of manufacturing production. They also …

content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

assessment of the reliability of such tools and of the source of potential forecast errors is essential. While many studies have … evaluated the size of forecast errors related to model specifications and unavailability of data in real time, few have provided … a complete assessment of forecast errors, which should notably take into account the impact of data revision. This paper …

their ability to forecast policy rates over the period from October 1992, when the United Kingdom first adopted an explicit …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor … models over different samples, including the recent financial crisis. To do so, we construct factor models to forecast …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an …

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …