The good forecasting performance of factor models has been well documented in the literature. While many studies focus … on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at … disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

(static) model averaging and dynamic model averaging - so as to explicitly reflect the objective of forecasting a discrete … schemes in terms of forecasting accuracy. In the empirical application, we estimate and forecast U.S. business cycle turning …

benchmarks. More data does not necessarily improve forecasting accuracy: For the factor model, adding monthly indicators from … national economies can lead to more uneven forecasting accuracy, notably when forecasting components of euro area GDP during … more difficulties beating the PMI model, with relatively large errors in forecasting some countries or components of euro …

yield considerable improvements over naive AR benchmarks. We also analyze pooling across forecasting methodologies. We find …

analyze output gap revisions and assess the usefulness of these gaps in forecasting total CPI inflation and three newly …, projected output gaps, and simple combinations of output gaps can add useful information for forecasting inflation. We find that …-2009 recession, as they subsequently tended to be revised down. In addition, we find that, when forecasting CPI-common and CPI …