statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of … least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

estimation methods in small samples. As an empirical illustration, we also apply them to the evaluation of the impact on local …

regressions, time-series modelling, panel data analysis - can be misleading for understanding convergence; a model of polarization …

-rich countries. We also present IV-estimates to correct for the endogenous nature of investment rates and panel estimates to allow …

the US. We compare the forecasting performance of each indicator with that of purely autoregressive models, using an … real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyse three …

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …