direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons … univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate …. Conversely, direct forecasts may dominate in the presence of dynamic model misspecification. Empirical analysis of the set of 170 …

information. We explore several new forecasting approaches for the U.S. retail price of gasoline and compare their accuracy with … gasoline price forecasts are feasible in real time at horizons up to two years, as are substantial increases in directional … accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even …

forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the …