stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is …

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) …

standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, only produce static forecasts. I … apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer (1989 …

. Furthermore, we construct multiple-step ahead forecasts and evaluate the forecasting performance of the model. Finally, an … threshold autoregressive models: estimation, forecasting and rational expectations applications …