which professional forecasters' inflation and unemployment rate forecasts are `theory consistent', and find much … of tight labour markets.At the shortest horizon, theory-consistency is related to more accurate forecasts, but not …

Macroeconomic data are subject to revision over time as later vintages are released, yet the usual way of generating … real-time out-of-sample forecasts from models effectively makes no allowance for this form of data uncertainty. We analyse …. This method is applied to density forecasting in the presence of time-varying heteroscedasticity, and is shown in principle …

We show that factor forecasting models deliver real-time gains over autoregressive models for US real activity … models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample …

While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no … clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two …