The forecasting literature has identi…fied two important, broad issues. The fi…rst stylized fact is that the predictive … understand what we have learned about forecasting in the presence of instabilities, especially regarding the two questions above …-of-sample forecasting ability, what should researchers do? If there are statistically significant instabilities in the Granger …

The forecasting literature has identi ed two important issues: (i) several predictors have substantial and … learned about forecasting in the presence of instabilities. The empirical evidence raises a multitude of questions. If in …-sample tests provide poor guidance to out-of-sample forecasting ability, what should researchers do? If there are statistically …

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 …

practical implications, our forecasting results provide perhaps the most convincing evidence to date that the exchange rate …,b) literature on forecasting exchange rates, we find that the reverse forecasting regression does not survive out-of-sample testing …

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. …