Included here are two appendices. Appendix A has information on model priors, selected material on the data, and some details on computation. Appendix B contains an extended treatment of alternative measures of stress, and alternative measures of real activity, including how these measures compare to the base case model in terms of picking up the same state probabilities and, in some cases, qua...

7 Article history: 8 Received 15 November 2012 9 Received in revised form 25 January 2013 10 Accepted 29 January 2013 11 Available online xxxx 1234 15 JEL classification: 16 C15 17 C32 18 G13 19 G15 20

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A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulate...

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