When assessing the predictive power of financial variables for economic activity, researchers usually aggregate higher-frequency data before estimating a forecasting model that assumes the relationship between the financial variable and the dependent variable to be linear. This paper proposes a...

Vintage-based vector autoregressive models of a single macroeconomic variable are shown to be a useful vehicle for obtaining forecasts of different maturities of future and past observations, including estimates of post-revision values. The forecasting performance of models which include...