Climate change is a massive multidimensional shift. Temperature shifts, in particular, have important implications for urbanization, agriculture, health, productivity, and poverty, among other things. While much research has documented rising mean temperature levels , the authors also examine...

From the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined or ensemble forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. This uncertainty formula should incorporate forecaster discord, as...

This chapter uses an application to explore the utility of Bayesian quantile regression (BQR) methods in producing density nowcasts. Our quantile regression modeling strategy is designed to reflect important nowcasting features, namely the use of mixed-frequency data, the ragged-edge, and large...

This chapter investigates the performance of different dimension reduction approaches for large vector autoregressions in multi-step ahead forecasts. The authors consider factor augmented VAR models using principal components and partial least squares, random subset regression, random...

It is rare for the forecasts of one economic forecasting model to always be more accurate than the forecasts from an alternative model. This suggests the possibility of implementing a switching strategy that chooses, at each point in time, the forecasting model that is expected to be most...

Hashem Pesaran has made many seminal contributions, among others, in the time series econometrics estimation and forecasting under structural break, see Pesaran and Timmermann (2005 , 2007 ), Pesaran, Pettenuzzo, and Timmermann (2006) , and Pesaran, Pick, and Pranovich (2013) . In this chapter,...

We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after...

The author shows that extending the estimation window prior to structural breaks in cointegrated systems can be beneficial for forecasting performance and highlights under which conditions. In doing so, the author generalizes the Pesaran and Timmermann (2005)’s forecast error decomposition and...

A novel approach to modeling exchange rates is presented based on a set of models distinguished by the drivers of the rate and regime duration. The models are combined into a “meta model” using model averaging and non-nested hypothesis-testing techniques. The meta model accommodates periods...

What would have been the hypothetical effect of monetary policy shocks had a country never joined the euro area, in cases where we know that the country in question actually did join the euro area? It is one thing to investigate the impact of joining a monetary union, but quite another to...