Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast...

In this paper, the authors empirically assess the extent to which early release inefficiency and definitional change affect prediction precision. In particular, they carry out a series of ex-ante prediction experiments in order to examine: the marginal predictive content of the revision process,...

We utilize mixed frequency factor-MIDAS models for the purpose of carrying out pastcasting, nowcasting, and forecasting experiments using real-time data. We also introduce a new real-time Korean GDP dataset, which is the focus of our experiments. The methodology that we utilize involves first...