This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal …-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4 … for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases …

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model can be explained …

AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual … we show that, generally, no size correction is needed in the asymptotic test distribution when applied to AR–GARCH …. Simulations show that our asymptotic approximations work well for a large number of AR–GARCH models and parameter values. We also …

forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The … contrasted with the major difficulties confronting forecasting. …