Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which … independent autoregressive processes are assumed for the series in the panel. We compare the forecasting abilities of FM and MAR … establish which conditions need to be satisfied for a FM to overperform MAR in terms of mean square forecasting error. The …

logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances …

forecast and econ omic gains. Similar forecast gains are obtained in point and density forecasting of US real GDP, Inflation …

common Eurozone cycle is derived by aggregating the country-specific cycles. The model is estimated using a simulation based …

logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances …

approach is assessed using statistical and utility-based performance measures for evaluating density forecasts. Simulation …

-specific cycles. The model is estimated using a simulation based Bayesian approach in which an efficient multi-move strategy algorithm …

other sources of information. The combination weights are time-varying and may depend on past predictive forecasting … CPU. We show the use of the package and the computational gain of the GPU version, through some simulation experiments and …