A forward intensity model for the prediction of corporate defaults over different future periods is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of the US industrial and financial firms spanning the period 1991-2011 on a monthly basis. Several commonly used...

Surveys on density forecasts of macroeconomic variables that do not available until recently provide one additional moment restriction, uncertainty, for testing and exploring the implications of various theories on expectation formation. This paper first documents the persistent dispersion in...