stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive …

aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the … theoretical setup and the forecasting results. …

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …

makes predicting these shifts hard. Hence, this paper asks whether forecasting them is necessary for optimal rotation … forecasting, we suggest a method utilizing Monte-Carlo simulations to obtain a credible upper bound on these losses. We show that …

In this paper, we disentangle tax revenue forecast errors into influences stemming from wrong macroeconomic assumptions … the forecast errors of the energy tax and the sales taxes. For the overall tax sum, more than two-third of the error can … can reduce tax revenue forecast errors …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …

We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust …