for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money …, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment … forecasting models and are then compared to forecasts from a naive random walk model. The best models were non …

We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that …, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares …

combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates …. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. …

single data series. In principle, information about other economic indicators should be useful in forecasting a particular … growth at horizons of 3, 12 and 24 months ahead. These forecasts are then compared to simple forecasting rules. …

beat even a naive no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric … a small predictable component to exchange rates. This article reviews the literature on forecasting exchange rates with …

One criticism of VAR forecasting is that macroeconomic variables tend not to behave as linear functions of their own … past around business cycle turning points. This article investigates the methods and efficacy of forecasting with a VAR …. ; (earlier title: Forecasting output with information from business cycle turning points: a qualitative variable VAR) …