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Handbook of Economic Forecasting part 98

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Handbook of Economic Forecasting part 98. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 944 M. Marcellino 1.0- 0 8. 0.6- 1990 1992 1994 1996 1998 2000 2002 ---PROBiTcb 1.0- 0.8- 1990 1992 1994 1996 1998 2000 2002 ---PROBiTecri --- PROB Tsw ---PROBIToecd 1 7 08. 0.6- 1990 1992 1994 1996 1998 2000 2002 ---PROBITspread Figure 8. Six months ahead recession probabilities for alternative probit models. The models are those in Table 8. Shaded areas are NBER dated recessions. Ch. 16 Leading Indicators 945 Table 9 Evaluation of forecast pooling Combine Relative MSE Relative MAE Relative MSE Relative MAE Predicting CCI_CB growth MSE-weighted Simple average 6 linear models 1 month 0.9474 0.9824 0.9418 0.9781 6 linear models 6 month dynamic 0.8873 0.9100 0.8863 0.9082 6 linear models 6 month iterated 0.9352 0.9776 0.9255 0.9701 Predicting NBER turning points MSE-weighted Simple average 4 linear and MS models 1 month 0.8683 1.1512 0.6676 0.9607 4 linear and MS models probit 1 month 0.8300 1.0989 0.6695 0.9686 Predicting NBER turning points MSE-weighted Simple average 5 single index PROBIT 1 month 0.7423 0.8028 0.7014 0.7844 5 single index PROBIT all 1 month 0.6900 0.7579 0.6395 0.7234 5 single index PROBIT 6 months 0.8863 0.9069 0.8667 0.8956 5 single index PROBIT all 6 months 0.8707 0.8695 0.8538 0.8569 Note Forecast sample is 1989 1-2003 12. The forecasts pooled in the upper panel are from the six models in Table 6 and the benchmark is the VAR 2 . The forecasts pooled in the middle panel are from the models in Table 7 including or excluding the probit and the benchmark is the probit model with 6 lags of CLIcb as regressor. The forecasts pooled in the lower panel are from the models in Table 8 including or excluding the probit with all indicators and the benchmark is as in the middle panel. indicates significance at 5 indicates significance at 1 of the Diebold-Mariano test forthe null hypothesis of no significant difference in MSE or MAE with respect to the benchmark. performs better than the pooled forecast for both one and six month horizons compare Table 8 and