Baumeister and Kilian (2015) combine forecasts from six empirical models to predict real oil prices. In this paper, we broadly reproduce their main economic findings, employing their preferred measures of the real oil price and similar real-time variables. Mindful of the importance of Brent...

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models,...