This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …

forecasting. Economic forecasting is made difficult by economic complexity, which implies non-linearities (multiple interactions … the algorithm in forecasting GDP growth 3- to 12-months ahead is assessed through simulations in pseudo-real-time for six …

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …

In this paper we consider the value of Google Trends search data for nowcasting (and forecasting) GDP growth for a …

. After ten prosperous years with an average GDP growth of 3.7%, the current recession places non-judgemental forecasting …-sized linear dynamic regressions with priors originating in the Bayesian VAR literature. Our forecasting procedure can be …

Indices (PMI) in anticipating US real economic activity. We conduct a fully-fledged real-time out-of-sample forecasting … forecasting GDP growth, while it performs quite poorly in anticipating industrial production growth. Combining the information …