Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

@inproceedings{Faust2007ComparingGA,
  title={Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset},
  author={Jon Faust and Jonathan H. Wright},
  year={2007}
}
Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex-post revised data not available to forecasters and because no comparison is made to best actual practice. We provide some evidence on both of these points using a new large dataset of vintage data synchronized… CONTINUE READING
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