This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

This paper illustrates the use of a real-time data set for forecasting. The data set consists of vintages, or snapshots …

for U.S. output, inflation, and the rate of unemployment. Drawing on both the Bayesian VAR and vector error corrections … (VEC) literature, the author specifies the baseline model as a Bayesian VEC. The author documents the model's forecasting … promise as a workhorse forecasting tool. …

robustness of published econometric results, for analyzing policy, and for forecasting. The data set consists of vintages, or …

Vector-autoregression (VAR) forecast models have been developed for many state economies, including the three states in … Bayesian VAR forecast model for the Philadelphia metropolitan area and the city of Philadelphia. …