We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that …, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares …

combining forecasts from different models helps improve the out-of-sample forecasting performance for US short-term rates …. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. …

for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money …, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment … forecasting models and are then compared to forecasts from a naive random walk model. The best models were non …