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Forecasting UK inflation bottom up
Joseph, Andreas; Kalamara, Eleni; Kapetanios, George; … - 2021
We forecast CPI inflation in the United Kingdom up to one year ahead using a large set of monthly disaggregated CPI … improvements in forecasting UK inflation against an autoregressive benchmark, above and beyond the gains from macroeconomic … divisions that consistently drive aggregate inflation forecasts across models and specifications, as well as to assess model …
Persistent link: https://www.econbiz.de/10013234829
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A review of forecasting techniques for large data sets
Eklund, Jana; Kapetanios, George - 2008
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
Persistent link: https://www.econbiz.de/10010284149
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J.; Kapetanios, George - 2008
.S. macroeconomic and financial data to forecast, for the United States, CPI inflation, core CPI inflation, industrial production …
Persistent link: https://www.econbiz.de/10010284202
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J.; Kapetanios, George - 2008
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...
Persistent link: https://www.econbiz.de/10010287052
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Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Groen, Jan J.J.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
.S. macroeconomic and financial data to forecast, for the United States, CPI inflation, core CPI inflation, industrial production …
Persistent link: https://www.econbiz.de/10005106310
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A Review of Forecasting Techniques for Large Data Sets
Eklund, Jana; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
Persistent link: https://www.econbiz.de/10005106367
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J. (contributor);  … - 2008
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...
Persistent link: https://www.econbiz.de/10003781548
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Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Groen, Jan J. - 2009
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser known alternative: partial least squares (PLS) regression. In this method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the...
Persistent link: https://www.econbiz.de/10012720604
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Rational Expectations and Fixed-Event Forecasts : An Application to UK Inflation
Bakhshi, Hasan; Kapetanios, George; Yates, Anthony - 2005
This paper tests a version of the rational expectations hypothesis using 'fixed-event' inflation forecasts for the UK … rolling event data. The results show evidence of a positive bias in inflation expectations. Evidence for inefficiency is much …
Persistent link: https://www.econbiz.de/10014077855
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Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation
Kapetanios, George; Labhard, Vincent; Price, Simon - School of Economics and Finance, Queen Mary - 2006
weights. We consider the use of model averaging in forecasting UK inflation with a large dataset from this perspective. We …
Persistent link: https://www.econbiz.de/10005106353