This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper … activity. When used in a standard recession probability model, the index outperforms the yield curve based forecast, a standard … method to forecast recessions, at medium horizons, up to 8 months. Moreover, the index contains information not included in …

-specification, estimation uncertainty and mis-measurement error. Forecastorigin shifts in parameters affect absolute, but not relative, forecast … accuracies; mis-specification and estimation uncertainty induce forecast-error differences, which variable-selection procedures …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …

higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy … of the aggregate forecast of euro area and US inflation in some situations, but not in others …