Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy', as … depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions …

Density forecast combinations are becoming increasingly popular as a means of improving forecast 'accuracy', as … depend on the variable one is trying to forecast. Specific attention is paid to the use of piecewise linear weight functions …

We forecast CPI inflation in the United Kingdom up to one year ahead using a large set of monthly disaggregated CPI …, yielding gains in relative forecast accuracy of up to 70% at the one-year horizon. Our results suggests that the combination of … differences going beyond forecast accuracy …

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 …

, 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 …