We compare a number of methods that have been proposed in the literature for obtaining h-step ahead minimum mean square error forecasts for SETAR models. These forecasts are compared to those from an AR model. The comparison of forecasting methods is made using Monte Carlo simulation. The Monte...

We investigate two characteristics of survey forecasts that are shown to contribute to their superiority over purely model-based forecasts. These are that the consensus forecasts incorporate the effects of perceived changes in the long-run outlook, as well as embodying departures from the path...

We present a novel approach to assessing the attentiveness of professional forecasters to news about the macroeconomy. We find evidence that professional forecasters, taken as a group, do not always update their estimates of the current state of the economy to reflect the latest releases of...