I investigate the dynamics of analyst forecast errors relative to economic policy uncertainty and find a significant … positive relation between economic policy uncertainty and analyst forecast errors. A doubling of economic policy uncertainty is … associated with a 4.29 percentage points increase in earnings (EPS) forecast errors, and the volatility and dispersion in analyst …

implications for forecast efficiency and the stock market. We find that the two sets of forecasts strongly covary over the 1984 to … aggregate earnings, the converse is not true. Additional tests suggest that analysts underreact to economists' negative forecast … revisions (i.e., aggregate earnings forecast errors are predictably more negative following economists' downward forecast …

the subspace factor model rank highest in terms of forecast accuracy in most cases. However, neither of the dynamic factor … models can provide better forecasts than the static model over all forecast horizons and different specifications of the …

for state-space models. Out-of-sample forecasts show that the forecast errors of the factor models are on average smaller … and the subspace factor model outperform the static factor model in most cases in terms of mean-squared forecast error …. However, the forecast performance depends crucially on the choice of appropriate information criteria for the auxiliary …

-run forecast horizons. The model is shown to be capable of predicting turning points and usable for policy analysis under different …

inflation forecast uncertainty conditional on the growth of output (or vice versa). The analysis can readily be extended to the …

property that as the forecast horizon shortens accuracy improves. On average, forecasters underpredict inflation, but this …-ahead forecasts but not for current year. Tests' results point to forecast inefficiency which is also evidenced by a tendency to … inflation rate and the extent of underprediction increases during recessions. The hypothesis of forecast efficiency is …

, reveals a slight trend towards increased forecast accuracy as the daily variable approaches a full month for certain horizons. …