forecasting ability has been compared to that of a linear univariate benchmark (ARIMA) model. Main forecast diagnostics have been …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

priors entertained for all variables at all forecasting horizons. …

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and … variables. Our forecasting model significantly improves the predicting accuracy of extant models in the literature, particularly …

) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial … with financial frictions outperform in forecasting inflation but not the GDP growth rate. …