. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast … pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, Forecasting, Consumption …

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …