We address the issue of modelling and forecasting macroeconomic variables using medium and large datasets, by adopting …

investigation of U.S. real GDP, the penalized model works better in terms of forecasting future recessions as defined by the NBER …

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …

This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first … model for the idiosyncratic component. Then, we test the forecasting performance of this model both in simulations, and on a …

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models … have equal forecasting ability with relatively sophisticated models which allow for richer economic dynamics. To check …