To explain which methods might win forecasting competitions on economic time series, we consider forecasting in an …-causal models will outperform at short horizons. This suggests using techniques which avoid systematic forecasting errors, including …

the indirect method of forecasting, the simulation results suggest that an increase in the number of dynamic factors (for … simulation of the DF model. We, first, find that the direct method is the best performer regarding the out of sample projection … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

economic growth for Estonia are performed and evaluated against benchmark models for different estimation and forecasting … periods. Results show that both methods show improvements over the benchmark model, but not for the all the forecasting …

Johansen and Schaumburg (1999). The data generating process used in the Monte Carlo simulation is based on an empirical six …-dimensional macroeconomic data set. Results show that the seasonal cointegration model improves forecasting accuracy, compared with the standard … by Johansen and Schaumburg seems to work better than the original model presented by Lee (1992). An empirical forecasting …

Recent time series methods are applied to the problem of forecasting New Zealand's real GDP. Model selection is … forecasting settings are performed with the VAR models. The first provides conditional predictions of New Zealand's real GDP when …

In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs …" restriction on out-of-sample valuation and forecasting accuracy of such variables is of interest. In particular, we compare the … long-run forecasting performance of the multicointegrated variables between a model that correctly imposes the "common …

The effect of imposing different numbers of unit roots on forecasting accuracy is examined using univariate ARMA models …. To see whether additional information improves forecasting accuracy and increases the informative forecast horizon, we …