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 …

be used as actuals in current forecast evaluation. We allow for structural changes in the regression parameters to …

uncertainty when forecasting the term structure of U.S. interest rates. We start off by analyzing and comparing the forecast … adding macroeconomic information, through factors extracted from a large number of individual series, tends to improve …. Models with macro factors are the more accurate in and around recession periods. Models without macro factors do particularly …

We propose to construct factor models based on disaggregate survey data to forecast national aggregate macroeconomic …. However, the factor models are most successful in now casting and forecasting GDP growth. Forecast combinations of regional …

We assess the forecast ability of Norges Bank's regional survey for inflation, GDP growth and the unemployment rate in … inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth. Forecast combinations …