pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE … react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

This paper examines the corporation tax forecasting techniques used by the Institute for Fiscal Studies. For current … year forecasts a judgemental forecast is found to have performed better than relying solely on a simple model or … information on the receipts available so far in the current financial year. For longer time horizons the judgemental forecast has …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to … multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function …

This paper examines financial professionals' overconfidence in their forecasting performance. We are the first to … compare individual financial professionals' self-ratings with their true forecasting performance. Data spans several years at … attitude to herd, whereas recent forecasting success comes along with more overconfidence. …

markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …

International Monetary Fund, as measured by standard evaluation measures, such as the root mean square forecast error. In comparison …

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …