We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good … forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out …, which is valid under general conditions, can be used not only to detect past forecast breakdowns but also to predict future …

We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good … forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out …, which is valid under general conditions, can be used not only to detect past forecast breakdowns but also to predict future …

model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecast benchmark when evaluating DSGE models. Indeed,low-dimensional unrestricted AR and VAR forecasts may forecast more …

wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … develop a novel method for selecting the estimation window size for forecasting. Specifically, we propose to choose the …

choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over …