This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different … can disentangle the role of unit labour costs and profit margins as the factors affecting price pressures on the supply …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in …This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting but no model uniformly dominates the other. No-arbitrage models are more useful at shorter horizon for shorter …

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

the forecasting process. …

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264 … thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit … unknown, similarly to unobserved stochastic factors. While very promising, these theoretical results concern only the pooled …