wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … applied to forecasting US real output growth and inflation, the proposed method tends to improve upon conventional methods. …While forecasting is a common practice in academia, government and business alike, practitioners are often left …

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …

an effect of a US shock. More generally, the models have a good forecasting performance over short horizons. …

volatilities, and a hierarchical specification for the prior means, improve model fit and forecasting performance. …

-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class … is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

degenerate or not. We demonstrate by simulation the coverage accuracy of these sets in finite samples under realistic conditions …

indices over the period 1995-2003. We find strong evidence in support of ‘thick’ modelling proposed in the forecasting …