See the article in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 93(c), pages 9-18.<P> Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable....</p></i>

This discussion paper resulted in a publication in the <I>International Journal of Forecasting</I> (2013). Volume 29(4), pages 622-627.<P> It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions....</p></i>

As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

This discussion paper led to an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2009). Vol. 71, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic...</p></i>

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC decision during the period January 1990 - June...

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...

See the publication in the 'Journal of Applied Econometrics' (2014).<P> We estimate the impulse response function (IRF) of GDP toa banking crisis, applying an extension of the local projectionsmethod developed in Jorda (2005). This method is shown to bemore robust to misspecification than...</p>

This paper puts forward kernel ridge regression as an approach for forecasting with many predictors that are related nonlinearly to the target variable. In kernel ridge regression, the observed predictor variables are mapped nonlinearly into a high-dimensional space, where estimation of the...

This paper has led to a publication in <I>Applied Financial Economics</I>, 2013, 23(9), 749-765.<P> This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The...</p></i>