estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast …This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a … empirical question whether the group of monetary variables is relevant for forecasting euro area inflation. In our application …

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a … small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short …

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes … business cycle analysis. In order to account for parameter uncertainty we consider a Bayesian approach to both estimation and …

higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …

for the official forecasts. On the basis of the evidence, the recent inflation forecast failure appears to have been … economy. Thus, there is a premium on adaptation in the forecast process, in order to avoid sequences of forecast failure. This … paper evaluates a sequence of inflation forecasts in the Norges Bank Inflation Report, and we present automatized forecasts …

estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …