We investigate the circumstances in which business cycle forecasting is beneficial for business by addressing both the short-run and the long-run aspects. For an assessment of short-run forecasting we make a distinction between using publicly available information of cycle probabilities and the...

This paper presents findings from a census of more than 79,000 stock-keeping units (SKUs) in 37 consumer packaged goods categories totaling $55 billion in annual revenue. It shows that, in 86% of product categories, the relationship between market share and retail distribution is increasing and...

Thanks to the increasing availability of granular, yet high-dimensional, firm level data, machine learning (ML) algorithms have been successfully applied to address multiple research questions related to firm dynamics. Especially supervised learning (SL), the branch of ML dealing with the...

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes...

Government agencies and other national and international institutions are asked to perform forecasts over the medium term. In particular, the EU Stability and Growth Pact contains the obligation to formulate stability programmes over four years, covering a general economic outlook as well as the...

We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...

Since the adoption of inflation targeting, the seasonal appears to be the component that explains the major part of inflation’s total variation in Mexico. In this context, we study the performance of seasonal time series models to forecast short-run inflation. Using multi-horizon evaluation...

Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...

This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered...