This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first … model for the idiosyncratic component. Then, we test the forecasting performance of this model both in simulations, and on a …

-intensive evaluative techniques such as Impact Assessment and Cost-Benefit Analysis. In this study, a Structured Analogies forecasting …

forecasting large declines match the top methods for conventional forecast accuracy in the M3-Competition’s micro monthly time … methods for operations-level forecasting, for both ordinary and large-change forecasts. …

forecasting average housing prices located in a county nested in a state. When deriving the BLUP, we take into account the spatial …

reduced-form inflation modeling and forecasting, we specify a range of models of inflation that incorporate different trend … specifications. We compare the models on the basis of their accuracies in out-of-sample forecasting, both point and density. Our …

specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …

of the parameter estimates, and study the asymptotic impact of model misspecification on multi-step-ahead forecasting …. The method is illustrated through a forecasting exercise, applied to several time series. …