The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

This paper considers factor forecasting with national versus factor forecasting with international data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard...

We look at how large international datasets can improve forecasts of national activity. We use the case of New Zealand, an archetypal small open economy. We apply data-richʺ factor and shrinkage methods to tackle the problem of efficiently handling hundreds of predictor data series from many...