This paper estimates and forecasts U.S. business cycle turning points with state-level data. The probabilities of recession are obtained from univariate and multivariate regime-switching models based on a pairwise combination of national and state-level data. We use two classes of combination...

Combination of forecasts from survey data is complicated by the frequent entry and exit in real time of individual forecasters which renders conventional least squares regression approaches to estimation of the combination weights infeasible. We explore the consequences of this for a variety of...

This paper applies three universal approximators for forecasting. They are the Artificial Neural Networks, the Kolmogorov-Gabor polynomials, as well as the Elliptic Basis Function Networks. Even though forecast combination has a long history in econometrics focus has not been on proving loss...

Qualitative business survey data are used widely to provide indicators of economic activity ahead of the publication of official data. Traditional indicators exploit only aggregate survey information, namely the proportions of respondents who report “up” and “down”. This paper examines...

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and...

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

The question of variable selection in a regression model is a major open research topic in econometrics. Traditionally two broad classes of methods have been used. One is sequential testing and the other is information criteria. The advent of large datasets used by institutions such as central...