This article proposes an improved method for the construction of principal components in macroeconomic forecasting. The underlying idea is to maximize the amount of variance of the original predictor variables that is retained by the components in order to reduce the variance involved in...

This paper demonstrates that the Conference Board’s Composite Leading Index (CLI) has significant real-time predictive ability for Industrial Production (IP) growth rates at horizons from one to six months ahead over the period 1989–2009. A popular but unrealistic analysis, which combines...

This paper demonstrates that the Conference Board's Composite Leading Index (CLI) has significant real-time predictive ability for Industrial Production (IP) growth rates at horizons from one to six months ahead over the period 1989-2009. A popular but unrealistic analysis, which combines...

A government's ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. A government forecast based on an econometric model is replicable, whereas one that is not fully based on an econometric model...

We determine whether statistical model forecasts of SKU level sales data can be improved by formally including past expert knowledge in the model as additional variables. Upon analyzing various forecasts in a large database, using various models, forecast samples and accuracy measures, we...

The Netherlands Bureau for Economic Policy Analysis (CPB) uses a large macroeconomic model to create forecasts of various important macroeconomic variables. The outcomes of this model are usually filtered by experts, and it is the expert forecasts that are made available to the general public....