policy, examine the forecast performance in terms of bias and effciency, and explore the implications for the interaction of …

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. …

(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. …

optimal forecast is biased under asymmetric loss and that the conditionally optimal amount of bias is time-varying in general …

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not …

This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to …