Charemza, Wojciech; Kharin, Yuriy; Maevskiy, Vladislav - Department of Economics, Leicester University - 2012
The paper aims at assessing the forecast risk and the maximum admissible forecast horizon for the non-systematic component of inflation modeled autoregressively, where a distortion is caused by a simple first-order bilinear process. The concept of the guaranteed upper risk of forecasting and the...