specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … different forecast horizons. However, various specifications of the factor model exist and it is a topic of debate which …

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified …-validation procedure. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting … accuracy of autoregressive models. In an empirical study concerned with forecasting the U.S. Industrial Production, we show …

dynamic stochastic general equilibrium and vector autoregression models in out-of-sample forecasting. We then demonstrate that …

probability density function for future values of the variables of interest. At the same time combinations of forecast densities …-data sets. Given this increased relevance of forecast density combinations, the genesis and evolution of this approach, both … history and evolution of forecast density combination methods, together with their potential and benefits, are illustrated in …

forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil … been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil … been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …