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. …

realized sales, we document that only major forecast errors are predictable and display autocorrelation. This result is a … forecast errors are neither predictable nor autocorrelated. To arrive at this result, we develop a novel methodology to … environments where information processing is more costly. This results in major forecast errors that are predictable and …

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …

growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast …

quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for …This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a …

nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that … covers multiple dimensions of the global economy consistently produces substantial improvements in forecast accuracy, while …

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 …

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …

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 …