We develop a forecasting model of GDP growth that features regime-switching behavior and an error-correction mechanism (ECM). Regime changes are manifested in the behavior of a stochastic regime drift component that moves between expansionary and contractionary phases, thus generating cycles in...

The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a...