In this paper, we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the European Central Bank's (ECB) Euro-area-wide model database, plus a set of similar variables for the US. We compare...

The literature on model comparison often requires the assumption that the true conditional distribution corresponds to that of one of the competing models. This strong assumption has been extended by the notion of encompassing and in likelihood based model comparisons. This paper takes the...

This paper proposes a dating algorithm based on an appropriately defined Markov chain that enforces alternation of peaks and troughs, and duration constraints concerning the phases and the full cycle. The algorithm, which implements Harding and Pagan's non-parametric dating methodology, allows...

In this paper, we assess the possibility of producing unbiased forecasts for fiscal variables in the Euro area by comparing a set of procedures that rely on different information sets and econometric techniques. In particular, we consider autoregressive moving average models, Vector...

We compare alternative forecast pooling methods and 58 forecasts from linear, time-varying and non-linear models, using a very large dataset of about 500 macroeconomic variables for the countries in the European Monetary Union. On average, combination methods work well but single non-linear...

In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, there is some disagreement in the literature as to the appropriate...