This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.

The national accounts provide a coherent and exaustive description of the current state of the economy, but are available at the quarterly frequency and are released with a nonignorable publication lag. The paper proposes and illustrates a method for nowcasting and forecasting the sixteen main...

The primary objective of this paper is to propose two nonlinear extensions for macroeconomic forecasting using large datasets. First, we propose an alternative technique for factor estimation, i.e., kernel principal component analysis, which allows the factors to have a nonlinear relationship to...