D'Amato, Laura; Garegnani, María Lorena; Blanco, Emilio - 2008
forecast horizon lengthens, multivariate models performance improves. In particular, a monetary VAR performs better than the … not statistically significant. Finally, estimated models are pooled to forecast inflation. Some of the forecast … combinations outperform the best individual forecast over a one-year horizon. Taking into account that a one year-horizon is …