Pauwels, Laurent; Vasnev, Andrey - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 138-148
This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...