We evaluate various economic modelsí relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the modelsí relative performance can be varying over time. We show that the modelsí relative performance has,...

The goal of this paper is to develop formal techniques for analyzing the relative in-sample performance of two competing, misspeci?ed models in the presence of possible data instability. The central idea of our methodology is to propose a measure of the models? local relative performance: the...

We evaluate various modelsí relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the modelsí relative performance can be varying over time. We show that the modelsí relative performance has, in fact,...