no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single … single-equation MS models tend to perform slightly better than linear VAR models when no leading information is available … than linear VAR models. …

are vector autoregressive (VAR) models. It is shown that a small-scale static factor-augmented VAR (FAVAR) model tends to … improve upon the nowcasting performance of the VAR models when the model span and the nowcasting period stretch beyond a …

Johansen cointegration rank test based on a VAR representation, which is also proved to be an adequate one via a set of … are cointegrated in corresponding intervals. The VAR and vector error correction (VEC) models are estimated and provide …

variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches … considering the time lead and the existence of a cointegrating relation. VAR and VECM representations do not provide any …

exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …

In this paper we estimate a structural VAR model to identify the causes of inflation in Ecuador. To examine the VAR … to the variables in the VAR. We differ from previous studies because we are able not only to identify the impact of each …