This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data in forecasting economic aggregates can improve forecast accuracy. The best way of using this information is to build a single model, for example, an ARMA model with missing...

"This monograph aims to collect recent theoretical insights and various empirical results for a rapidly developing area concerning the analysis of business and economic forecasts. Strictly following econometric textbooks one would be tempted to assume that forecasts are the outcome of a careful...

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...