selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive …

to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing …

that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using …

as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

. Forecasting from such a model assuming 'no structural break' and 'correct model' is tantamount to ignoring important aspects of …) a random walk model. Optimal IC approach, though computational intensive, outperforms in forecasting next period …

The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy …