We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …

not only simplify the model estimation, but also improve its forecasting performance. We allow the parameters of the MIDAS … large dataset with the help of factor analysis. Monte Carlo experiments and an empirical forecasting comparison carried out … for the U.S. GDP growth show that the models of the MS-UMIDAS class exhibit similar or better nowcasting and forecasting …

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …

Macroeconomic forecasting using factor models estimated by principal components has become a popular research topic … simply screen datasets prior to estimation and remove anomalous observations.We investigate whether forecasting performance … Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time forecasting exercise to test its …

time of forecasting, are useful in assessing future forecast errors. …

We analyze the forecasting performance of small mixed frequency factor models when the observed variables share … transfer of information among indicators. We find that allowing for common trends improves forecasting performance over a …

index. I extend the model which was previously suggested as a model for inflation forecasting in the USA to take into … account a possible difference in model parameters and seasonal factor. Comparison of the out-of-sample forecasting performance … candidate for a real time forecasting method for the Russian CPI. …