able to provide more accurate forecasting results than linear models. Therefore, simple autoregressive processes are … observations and autoregression residuals. The proposed forecasting models are applied to a large set of macroeconomic and … autoregression residuals, are somewhat able to provide better forecasting results than simple linear models. Thus, it may be …

A two-stage forecasting approach for long memory time series is introduced. In the first step we estimate the … and yields good forecasting results. …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …

, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …

n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means … promising, as the forecasting performance shows a clear improvement over the linear parametric model. …

terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …