found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

standard approach. Using several shrinkage based forecasting methods, including new methods proposed here, we evaluate … random walk would not be the optimal forecasting method in a real time forecasting exercise, at least for some predictive …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … point forecasting, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight … that the forecasting performance of the estimated models is time-varying. …