This paper assesses the usefulness of constant gain least squares when forecasting inflation. An out-of-sample forecast exercise is conducted, in which univariate autoregressive models for inflation in Australia, Swe-den, the United Kingdom and the United States are used. The results suggest...

In this paper, we assess the usefulness of constant gain least squares (CGLS) when forecasting the unemployment rate. Using quarterly data from 1970 to 2009, we conduct an out-of-sample forecast exercise in which univariate autoregressive models for the unemployment rate in Australia, Sweden,...