The authors present an alternative version of the Chicago Fed National Activity Index (CFNAI), which is constructed using a methodology that allows for a more robust treatment of the underlying data series than its traditional methodology. This alternative CFNAI produces superior predictions of...

We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the...

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon lag polynomial scheme which is designed to reduce...

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon lag polynomial scheme which is designed to reduce...

In this paper, we compare two fundamentally different judgmental demand forecasting approaches used to estimate demand and their corresponding demand distributions. In the first approach, parameters are obtained from a linear regression and maximum likelihood estimation (MLE) based on team...

The main objective of this study is to assess the usefulness and rationality of the inflation and unemployment rate forecasts made for Romanian by three experts in forecasting: F1, F2 and F3. All the unemployment rate forecasts over the horizon 2001-2013 provided by all experts do not provide...

We propose the use of Google online search data for nowcasting and forecasting the number of food stamps recipients. We perform a large out-of-sample forecasting exercise with almost 3000 competing models with forecast horizons up to 2 years ahead, and we show that models including Google search...

In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index and of the six primary non-ferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc. The economic relationship hinges on the present-value...

In this study, the performance and rationality of the gross domestic product growth forecasts by the World Bank (WB) for six regional aggregates and 130 individual countries between 1999 and 2019 are assessed. A large body of literature examines macroeconomic forecasts for advanced economies by...

This study assesses the performance of the GDP growth forecasts by European Bank for Reconstruction and Development (EBRD) for 38 countries between 1994 and 2019. It presents the following results. First, forecast performances improve over time. Second, the projections are mostly conservative,...