forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …

simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only …-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are …

This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper … activity. When used in a standard recession probability model, the index outperforms the yield curve based forecast, a standard … method to forecast recessions, at medium horizons, up to 8 months. Moreover, the index contains information not included in …

-specification, estimation uncertainty and mis-measurement error. Forecastorigin shifts in parameters affect absolute, but not relative, forecast … accuracies; mis-specification and estimation uncertainty induce forecast-error differences, which variable-selection procedures …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …