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 …

Simulation-based forecasting methods for a non-Gaussian noncausal vector autoregressive (VAR) model are proposed. In … out superior to the best-fitting conventional causal VAR model in forecasting inflation. … analytical solution is unfeasible and, therefore, simulation or numerical methods are required in computing forecasts. It turns …

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. …

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 …

This paper reports results from a forecasting study for inflation, industrial output and exchange rates for India. We … and our analysis is based on linear models, ARIMA and bivariate transfer functions and restricted VAR. Forecasting … overall results tend to support the use of a restricted VAR, as this model had the best forecasting performance more …

provide better forecasts than VAR models when working with VARMA data generating processes. In a simulation study we generate … state space models obtained by the CCA subspace algorithm, including a density forecasting analysis …

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …