information contained in the revision history of a given variable. We analyse the forecast performance of eleven widely used … forecast accuracy and precision. The novelty of our study relies on the interpretation of the vintages of a real time data base …-sample periods — substantially increases the forecast performance. More interestingly, our results indicate that augmenting the …

forecast combinations, which are widely used in macroeconomic forecasting, and compares these with a lesser known alternative …. We also argue that forecast combinations can be interpreted as a restricted form of partial least squares regression ….S. macroeconomic and financial data to forecast, for the United States, CPI inflation, core CPI inflation, industrial production …

, principal components, and Bayesian regressions to a large panel of monthly U.S. macroeconomic data to forecast key variables …