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

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 …

exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics models for two currencies, DEM and …

macroeconomic data. This paper discusses in detail the specification of a six-variable vector error-correction forecasting model. We … forecasting performance of the model with particular reference to the 1990-91 recession and the 1994-95 expansion; compare …