To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modelling the relation between observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known...

Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction...

For a multivariate time series model with structural breaks, explicit representations of the Beveridge-Nelson and Granger-Gonzalo-Proietti permanent trends are derived from the Johansen maximum likelihood estimates.