alternative nonlinear formulations outperform them for forecasting purposes. We find that the theory of nonlinear adjustment to …

nonlinearity in the specification of the data generating process. The nonlinearity is modelled as regime-dependent parameter … generalization of the procedure in Sala-i-Martin (American Economic Review, 1997), strong evidence of nonlinearity is found for …

countries: the USA and the UK. To do this, we apply nonlinearity tests and threshold models. While the first tests enable us to … improve the modeling and forecasting of public debt evolution. It is important to note that public debts vary significantly …

The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the … the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium … and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. …

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …