Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …

-of-sample forecasting experiment. Our results show that exploiting the informational content in a common global business cycle factor … improves forecasting accuracy in terms of both point and density forecast evaluation across a large panel of countries. In line … earlier in the evaluation sample. However, this time is different also in other respects. On longer forecasting horizons the …

autoregressive component. First, we compare the forecasting performance of the different MIDAS models in Monte Carlo simulation …

deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …