This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past by developing the forecast filters and the forecast error filters explicitly. We also provide formulas for...

By matching a large database of individual forecaster data with the universe of sizable natural disasters across 54 countries, we identify a set of new stylized facts: (i) forecasters are persistently heterogeneous in how often they issue or revise a forecast; (ii) information rigidity declines...