We propose simulation-based forecasting methods for the noncausal vector autoregressive model proposed by Lanne and … simulation procedures. Simulation experiments demonstrate that gains in forecasting accuracy are achieved by using the correct … of U.S. inflation and marginal cost turns out superior to the best-fitting conventional causal VAR model in forecasting …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is … report on the forecasting performance of the different prior distributions considered in the paper. …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models …

This paper surveys the recent literature on inflation forecasting and conducts an extensive empirical analysis on … forecasting inflation in Singapore, Japan, South Korea and Hong Kong paying particular attention to whether the inflation …-markup theory can help to forecast inflation. We first review the relative performance of different predictors in forecasting h …

Michigan Surveys of Consumers. While these measures have been useful in developing models of forecasting inflation, the data …I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused …

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the …, which should be manifested, possibly with a lag, in both producer and consumer prices. We build a forecasting model based on … a two or three equation system involving CPI and PPI inflation where the effects of the exchange rate and import prices …