This paper compares forecast accuracy of two Dynamic Factor Models in a context of constraints interms of data … prescreened variables. Short term outof-sample forecast of GDP growth is carried out with both models reproducing the real time … important role of the inclusion of latest released data in the forecast accuracy ofboth models, ii) the better precision of …

realised inflation with the stated ex ante coverage probabilities 50, 75 and 90 percent? In total 150 interval forecast 1999:Q2 …-2005:Q2 are assessed for CPI and KPIX. The main result is that the forecast uncertainty is understated, but there are … substantial differences between individual forecast origins and inflation measures. …

commonly used to forecast short-term price developments. On the whole, the model provides more accurate forecasts than those … provided by the autoregressive model, and a sector-based disaggregated approach outperforms a single equation to forecast total … econometric characteristics and forecast performance of the equations of our model. …

análisis. This article studies the informative content of interest rates to forecast the future evolution of the Spanish …

indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon …

forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the … compare the density forecast performance of a DSGE model to DSGE-VARs and reduced-form linear Gaussian models. …

In this paper, we ask whether it is possible to forecast gross value-added (GVA) and its sectoral subcomponents at the … regional level. With an autoregressive distributed lagmodel we forecast total and sectoral GVA for one German state (Saxony … usage of different forecast pooling strategies and factor models.Our results show that we are able to increase forecast …

quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …

time-varying models of the relationship be- tween inflation and the output gap. The forecast densities for inflation …-weight strategy performs well, consistently giving well-calibrated forecast densities. The equal-weight strategy generates poorly …-calibrated forecast densities for the US and Australian samples. There is little difference between the two strategies for our New Zealand …