forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …

this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …

existing evidence focuses on statistical measures of forecast accuracy, we also evaluate the performance of the alternative … beat the BVAR for a few selected maturities and forecast horizons, but they perform much worse than the BVAR in the …

Datasets ; Forecast Combinations …

, principal components, and Bayesian regressions to a large panel of monthly U.S. macroeconomic data to forecast key variables …. -- Macroeconomic forecasting ; factor models ; forecast combination ; principal components ; partial least squares ; Bayesian ridge …