variables, model it using a dynamic factor model, and compare the resulting forecasts with those from a set of standard time …, the factor-based forecasts are shown to improve upon standard benchmarks for prices, real aggregates, and financial …

models, and that a random walk forecasts exchange rates better than any economic model (the Meese and Rogoff puzzle). However …

We consider the problem of optimally combining individual forecasts of gross domestic product (GDP) and inflation from … forecasts and maximize a logarithmic score in the case of density forecasts. We show that this is a viable strategy even when … the number of forecasts to combine gets large, provided we constrain these weights to be positive and to sum to one …

of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially … in this Paper that all the standard properties of optimal forecasts can be invalid under asymmetric loss and non … suggest that many of the conclusions in the empirical literature concerning sub-optimality of forecasts could be premature. We …

performance of factor models. We complement the analysis with an empirical evaluation of forecasts for the key macroeconomic … factor-based forecasts in short samples with structural change. …