Rodrigo Sekkel - Latest
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Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States. -
Forecasting with Many Models: Model Confidence Sets and Forecast Combination
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
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