In this paper we explore the forecasting performances of methods based on a pre-selection of monthly indicators from …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … Likelihood of the model. Focusing on the US, we provide an extensive study on the forecasting performance of the proposed model …

determination of the optimal decomposition level and a wavelet-based forecasting approach. Overall, there is no indication of a …

specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …

period 1970Q1-2003Q4 for 10 macroeconomic variables. The years 2000-2003 are used as forecasting period. A range of different … univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some nonlinear … forecasting variables which need considerable adjustments in their levels when joining German and European Monetary Union (EMU …