Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …

forecast accuracy at the national level. In particular, we ask if a model with common international business cycle factors adds … business cycle factor improves forecast accuracy in terms of both point and density forecast evaluation across a large panel of …

We define and forecast classical business cycle turning points for the Norwegian economy. When defining reference …