This paper describes some recent advances and contributions to our understanding of economic forecasting. The framework … we develop helps explain the findings of forecasting competitions and the prevalence of forecast failure. It constitutes …

To explain which methods might win forecasting competitions on economic time series, we consider forecasting in an …-causal models will outperform at short horizons. This suggests using techniques which avoid systematic forecasting errors, including …

forecasting performance of models which include information on annual revisions is superior to that of models which only include …

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal …-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4 … for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases …