Theory tells us that output, the capital stock and the user cost of capital are related. From the capital accumulation identity, it also follows that the capital stock and investment have a long-run proportional relationship. The dynamic structure thus implies a multi-cointegrating framework, in...

Density forecast combinations are becoming increasingly popular as a means of improving forecast ‘accuracy', as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...

Density forecast combinations are becoming increasingly popular as a means of improving forecast 'accuracy', as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...