of country-specific determinants. This paper shows empirically the superiority of direct forecasting methods, in which …

. However expected losses depend on true parameter values. We then review univariate and multivariate forecasting in a framework … of nuisance parameters in the models is clearest. For multivariate models we examine forecasting from cointegrating … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other … forecast accuracy for the candidate models and benchmarks, using rolling window and expanding window forecasting evaluation … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries …, …rst, at ranking various forecasting methods in terms offorecast accuracy and, second, at checking whether methods … forecasting di-rectly aggregate variables (direct approaches) outperform methods based onthe aggregation of country …