This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the … pressures, including a gap could improve the accuracy of autoregressive inflation forecasting. This assertion is tested in a … simple simulated out-of-sample forecasting exercise for the period 1990-2002. The main conclusions are that an output gap …

a country's financial vulnerability. The indicator has a higher correlation with default episodes than other indicators … used in previous studies. In addition, the level at which it leads to a high probability of default is comparable across …

offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test … statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 …

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

. This result is partly due to the 'average' nature of the RMSE metric: when forecasting ability is assessed as if in real … that one should not discard, on the basis of RMSE statistics, the use of predictive models that include financial variables …

forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and … best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are …