This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …

forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting …

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically … simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting …

While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …