Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 2001
We examine recursive out-of-sample forecasting of monthly postwarU.S. core inflation and log price levels. We use … fractional integration and structural breaks in the meanand variance of inflation in the 1970s and 1980s and weincorporate these …) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …
