Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general …. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of … interest. This chapter presents the principles of Bayesian forecasting, and describes recent advances in computational …

. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …

features of observed data and of forecasting oneperiod ahead output-gap and investment with a remarkable degree of accuracy. …

We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector … competitors. In particular, inflation forecasts benefit from this new forecasting approach. Finally, we assess the models …