– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

is assessed in forecasting three major macroeconomic time series of the UK economy. Data-based restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … macroeconomic time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast … majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many …

Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available … test different forecasting horizons, in order to investigate the speed of deterioration of forecasting quality. We compare … appears to diminish as the forecasting horizon widens, eventually leading the SF model to being preferred for more distant …

This paper studies the forecasting performance of the general equilibrium model of bond yields of Marzo, Söderström and …