This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …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 …

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this … beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. It is found that it … substantial forecasting improvements from taking logs are found if the log transformation actually stabilizes the variance of the …