A popular macroeconomic forecasting strategy takes combinations across many models to hedge against model instabilities of unknown timing; see (among others) Stock andWatson (2004) and Clark and McCracken (2009). In this paper, we examine the effectiveness of recursive-weight and equal-weight...

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility models. A MCS is analogous to confidence interval of a parameter in the sense that the former contains the best forecasting model with a certain probability. The key to the MCS...

Phillips curves are central to discussions of inflation dynamics and monetary policy. New Keynesian Phillips curves describe how past inflation, expected future inflation, and a measure of real marginal cost or an output gap drive the current inflation rate. This paper studies the (potential)...