higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

point and density forecasts, in line with forecasting practices at many policy institutions. Our main findings are that … point forecasts perform similarly using both approaches, whereas directly forecasting aggregate indices tends to yield … better density forecasts. In the aftermath of the Great Financial Crisis, relative forecasting performance was typically only …

theoretical setup and the forecasting results. -- forecasting ; stochastic aggregation ; autoregression ; moving average ; vector …Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic … aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed …