I study the performance of single predictor bridge equation models as well as a
wide range of model selection and pooling techniques, including Mallows model
averaging and Cross-Validation model averaging, for short-term forecasting euro
area GDP growth. I explore to what extent model selection and model pooling
techniques are able to outperform a simple autoregressive benchmark model in
the periods before, during and after the Great Recession. I find that single predictor
bridge equation models suffer a great variation in the forecast performance
relative to the benchmark model over the analysed sub-samples. Moreover, model
selection techniques turn out to produce quite poor forecasts in some sub-samples.
On the contrary, model pooling based on the Cross-Validation and the Mallows
criterion provide a very stable and accurate forecast performance.