This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …

-- 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast … majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many …

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …

the random walk model, suggests that the forecasting performance of the monetary model is superior. …

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … data for a wide range of specifications. In order to explain this poor performance, we use a forecasting error decomposition …

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting …. In practice, where information on structural breaks is uncertain a forecasting procedure based on robust weights is … performance of our approach relative to other forecasting methods. …

research on detecting and forecasting business cycle turning points. …