Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - 2009
generating process of in ation has
made it increasingly more di–cult to forecast in ation. Next to that, Cogley et al. (2009)
use …),
through a hierarchical hidden Markov chain model, show that forecast models that incor-
porate structural breaks exhibit good … parameters. Their results vary across forecast variables, but in general
univariate models seem to be di–cult to beat by these …