Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010
macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …