#2006-059B "The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns"
by Massimo Guidolin, and Carrie Fangzhou Na
October 2006
Revised April 2007

We address one interesting case — the predictability of excess US asset returns from macroeconomic factors within a flexible regime switching VAR framework — in which the presence of regimes may lead to superior forecasting performance from forecast combinations. More...

FORTHCOMING: Forecasting in the Presence of Structural Breaks and Model Uncertainty, M. Wohar and D. Rapach, eds.