We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and … compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the …

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy … analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of … commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for …

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy … analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of … commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for …

models overestimate uncertainty around point forecasts. …

forecasts of nonstructural large dataset methods. Despite their common underlying New Keynesian modeling philosophy, forecasts … models overestimate uncertainty around point forecasts. …

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …

We develop a transparent Bayesian approach to quantify uncertainty about linear stochastic discount factor models. We … show that, for a Bayesian decision-maker, the model probability decreases with historical maximum in-sample Sharpe ratios … and increases with model dimensions. We apply our approach to quantify the time series of model uncertainty in North …

-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a … probability density function for future values of the variables of interest. At the same time combinations of forecast densities … inside and outside economics, is explored. A fundamental density combination equation is specified which shows that various …