We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs …" restriction on out-of-sample valuation and forecasting accuracy of such variables is of interest. In particular, we compare the … long-run forecasting performance of the multicointegrated variables between a model that correctly imposes the "common …

regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …

In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 … tested in a framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears …

even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …