This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …