This paper proposes a new method for combining forecasts based on complete subset regressions. For a given set of potential predictor variables we combine forecasts from all possible linear regression models that keep the number of predictors fixed. We explore how the choice of model complexity, as measured by the number of included predictor variables, can be used to trade off the bias and var...

We introduce an effective and computationally fast approach to combine conditional quantile forecasts. The approach uses the information of the relevant loss function for the quantile problem associated to each candidate model in order to define forecast combination weights in a dynamic fashion. Two important advantages of the proposed method are that i) does not require numerical optimization ...

Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of ma...

A solution to the problem of producing long-range forecasts on a short sampling interval is proposed. It involves the incorporation of information from a long sampling interval series, which could come from an independent source, into forecasts produced by a state-space model based on a short sampling interval. The solution is motivated by the desire to incorporate yearly electricity consumptio...

We examine how the properties of equity analysts’ bank loan loss provision forecasts differ with provision timeliness. We find that the accuracy of analyst provision forecasts relative to time-series provision forecasts is more pronounced for banks with more timely loan loss provisions. Consistent with the greater accuracy of analysts’ provision forecast for timely banks, we find that, controll...

[1] We explore the extent to which stochastic atmospheric variability was fundamental to development of extreme sea surface temperature anomalies (SSTAs) during the 1997–8 El Niño. The observed western equatorial Pacific westerly zonal stress anomalies (ta ), which appeared between Nov. 1996 and May 1997 as a series of episodic bursts, were largely reproducible by an atmospheric general circula...

The European Centre for Medium-Range Weather Forecasts (ECMWF) uses their Integrated Forecasting System (IFS) to produce daily weather forecasts for periods of up to 10 days ahead. This suite of software has been implemented using a parallel processing strategy based on message passing (MPI) that enables it to run on both distributed and shared memory architectures. Recent trends in hardware ar...

A new approach to downscaling soil moisture forecasts from the seasonal ensemble prediction forecasting system of the ECMWF (European Centre for Medium-Range Weather Forecasts) is presented in this study. Soil moisture forecasts from this system are rarely used nowadays, although they could provide valuable information. Weaknesses of the model soil scheme in forecasting soil water content and t...

Abstract: Using evaluation methodologies for rare events from meteorology and psychology, we examine the value of probability forecasts of real GDP declines during the current and each of the next four quarters using data from the Survey of Professional Forecasters. We study the quality of these probability forecasts in terms of calibration, resolution, the relative operating characteristic (RO...