The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising … classical reduced rank regression, a two-step procedure that applies, in turn, shrinkage and reduced rank restrictions, and the …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

problem to tackle with a traditional Bayesian approach. Our solution is to focus on the forecasting performance for the …

unemployment rate on inflation is not fundamentally different over time. Finally, a conditional forecasting exercise suggests that …