We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition and the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be inadequate, and many of them are degenerate in commonly occurring...

This paper analyzes forecasts, for ten key annually observed economic variables for the Netherlands, created by the Netherlands Bureau for Economic Policy Analysis (CPB) for 1971–2007. These CPB forecasts are all manually modified model forecasts, where the model is a (very) large...

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed-frequency data. In particular, it focuses on the MIDAS approach and its later...

Based on German business cycle forecast reports covering 10 German institutions for the period 1993–2017, the paper analyses the information content of German forecasters’ narratives for German business cycle forecasts. The paper applies textual analysis to convert qualitative text data into...

In most modern energy markets, electricity is traded in pay-as-clear auctions. Usually, multiple sequential markets with daily auctions, in which each hourly product is traded separately, coexist. In each market and for each traded hour, each power producer and consumer submits multiple price...

We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts’ forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts’ forecasts in two ways: reducing their...