Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...

Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...

The mean square error (MSE) compares point forecasts or a location parameter of the forecasting distribution with actual observations by the quadratic loss criterion. This paper shows how the Theil decomposition of the MSE error into a bias, variance and noise component which was proposed for...

Business tendency surveys (BTS) carried out by the statistical institute INSEE are intensively used for the short-term forecasting of the French economic activity. In particular, the service BTS has been used together with the industry BTS for the short-term forecasting of GDP growth since...

M-competition studies provide a set of stylized recommendations to enhance forecast reliability. However, no single method dominates across series, leading to consideration of the relationship between selected data characteristics and the reliability of alternative forecast methods. This study...

To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modeling the relation betwen observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known that...