With the increasing importance of the service-providing sectors, information from these sectors has become essential to the understanding of contemporary business cycles. This paper explores the usefulness of the transportation services output index (TSI) as an additional coincident indicator in...

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

In der empirischen Wirtschaftsforschung steigt die Anzahl der Publikationen, die mit Methoden des maschinellen Lernens arbeiten. Dennoch scheint eine gewisse Skepsis zu bestehen. Ein Kritikpunkt ist, dass sich maschinelles Lernen zwar für Vorhersagen eignet, aber keine kausalen Zusammenhänge...

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

This paper examines point and density forecasts from the European Central Bank’s Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...

The recursive algorithm to select the optimum multivariate real subset autoregressive model (AR) [1] is generalized to apply to multichannel complex subset AR's. It is initiated by fitting all 'forward' and 'backward' one-lag AR's. The method then allows one to develop successively all complex...

The paper comprises the preface and chapter 1 of the book titled "Financial and Economic Forecasting" (Authors: Penm-Penm-Terrell; Publication date: October 2002). The preface provides explanatory remarks at the beginning of the book. It briefly introduces theoretical developments and empirical...

This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some...

We examine how conditionality inherent to the real-life observable data influences our forecasting and decision-making based on this data. We show the importance of conditioning the observable data sets for correct forecasts and subsequent decision-making by analyzing examples ranging from logic...