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 …

informative content of the carry-over effect for short-term forecasting is undisputed and is used routinely in economic … forecasting. In this paper, the carry-over effect is analysed ‘statistically’ and it is shown how it reduces the uncertainty of …

models tend to be more sluggish to adjust. - Forecasting ; Dynamic factor model ; PMI model …

sector or by the expenditure side) or whether a direct approach is more appropriate when it comes to forecasting GDP growth …

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area …

. 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 …