Given the marked differences in housing price growth across USregions since the mid-1990s, we investigate forecasts of state-level real housing price growth for 1995-2006. We evaluate forecasts from an autoregressive benchmark model as well as models based on a host of state, regional, and...

We forecast US state-level employment growth using several distinct econometric approaches: combinations of individual autoregressive distributed lag models, general-to-specific modeling with bootstrap aggregation (GETS-bagging), and approximate factor (or “beta”) models. Our results show...

We examine different approaches to forecasting monthly US employment growth in the presence of many potentially relevant predictors. We first generate simulated out-of-sample forecasts of US employment growth at multiple horizons using individual autoregressive distributed lag (ARDL) models...

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting...

We examine the role of structural breaks in forecasting stock return volatility. We begin by testing for structural breaks in the unconditional variance of daily returns for the S&P 500 market index and ten sectoral stock indices for 9/12/1989–1/19/2006 using an iterative cumulative sum of...