We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...

In this paper we extend the Stock and Watson's (Leading economic indicators, new approaches and forecasting records, 1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different...

We evaluate nowcasts and one- to four-quarter-ahead forecasts of Swiss full time equivalent jobs from 1998-2011, comparing forecasts of the KOF Swiss Economic Institute and of the State Secretariat for Economic Affairs with the outcome of the reference series. Both forecasts are biased downward,...

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...

We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...

Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many...

Could a researcher or policy analyst use data reported from surveys of consumer confidence to improve forecasts of consumer spending? This issue has been examined in the literature previously, which reached the conclusion that consumer confidence helped improve the forecasts slightly. But that...

The focus of this paper is the evaluation of a very popular method for potential output estimation and medium-term forecasting? the production function approach?in terms of predictive performance. For this purpose, a forecast evaluation for the three to five years ahead predictions of GDP growth...

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...