This paper examines the forecasting performance of Bayesian model averaging (BMA) for a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than those...

Traditional econometric models of economic contractions typically perform poorly in forecasting exercises. This criticism is also frequently levelled at professional forecast probabilities of contractions. This paper addresses the problem of incorporating the entire distribution of professional...

Traditional econometric models of economic contractions typically perform poorly in forecasting exercises. This criticism is also frequently levelled at professional forecast probabilities of contractions. This paper addresses the problem of incorporating the entire distribution of professional...