switching in parameters other than shock variances, have caused MS-VARs to see only sparse usage. For our first contribution, we …

Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious … model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the … and PCE inflation also significantly outperform those from the Survey of Professional Forecasters, with similar nowcasting …