. Unbiasedness depends on the forecast horizon being analyzed, with longer-term four-quarter-ahead forecasts being biased. I …

highly interrelated small open economies. These spatial interrelations must be considered also when the aim is to forecast …

forecasts based on pooled and individual estimates and develop a novel forecast poolability test that can be used as a … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

model linking individual investment realisations to investment intentions. The model generates a one-year-ahead forecast of …

Cross institutional forecast evaluations may be severely distorted by the fact that forecasts are made at different …

effects helps substantially improve the forecast performance compared to the individual autoregressive models estimated for … even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … forecast error is about 9% at 1-year horizon and exceeds 40% at 5-year horizon). Hence, we strongly recommend incorporating …

side. In out-of-sample forecast exercises, the PVAR model fares comparatively well against common alternatives, although … short-horizon forecast errors tend to be large when we consider only the period of the recent financial crisis. The second …

simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved … parameters achieve posterior consistency, and that the density forecasts asymptotically converge to the oracle forecast, an …