lowers the prediction mean-squared error of forecast models of US consumer price inflation. We study bagging methods for …-of-sample forecasts of inflation based on these bagging methods to that of alternative forecast methods, including factor model forecasts …

wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … develop a novel method for selecting the estimation window size for forecasting. Specifically, we propose to choose the …

-varying parameters, but rather small sample estimation bias, that explains the Meese-Rogoff puzzle. …

forecasts, however, are obtained when allowing the forecast combinations to vary across forecast horizons. While the latter … no-change forecast and its directional accuracy as high as 73%. Our results are robust to alternative oil price measures … and apply to monthly as well as quarterly forecasts. We illustrate how forecast pooling may be used to produce real …

combination weights, we compute optimal weights which minimize the mean square forecast error (MSFE) in the case of point …

than analysts' consensus forecasts, reducing their forecast errors by 15% to 30% on average, depending on forecast horizon. …

no-change forecast of the real price of oil. We investigate the merits of constructing real-time forecast combinations of … six such models with weights that reflect the recent forecasting success of each model. Forecast combinations are … forecast combinations as providing insurance against possible model misspecification and smooth structural change. We …

no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …

This Paper proposes a new forecast combination method that lets the combination weights be driven by regime switching …

, amongst others, the factor estimation method and the number of factors, lag length and indicator selection. Thus, there are …