We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series over the...

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting...

We examine different approaches to forecasting monthly US employment growth in the presence of many potentially relevant predictors. We first generate simulated out-of-sample forecasts of US employment growth at multiple horizons using individual autoregressive distributed lag (ARDL) models...

We forecast US state-level employment growth using several distinct econometric approaches: combinations of individual autoregressive distributed lag models, general-to-specific modeling with bootstrap aggregation (GETS-bagging), and approximate factor (or “beta”) models. Our results show...

Given the marked differences in housing price growth across USregions since the mid-1990s, we investigate forecasts of state-level real housing price growth for 1995-2006. We evaluate forecasts from an autoregressive benchmark model as well as models based on a host of state, regional, and...

The authors consider forecasting real housing price growth for the individual states of the Federal Reserve's Eighth District. They first analyze the forecasting ability of a large number of potential predictors of state real housing price growth using an autoregressive distributed lag (ARDL)...