The concept of trend inflation is important in making accurate inflation forecasts. However, there is little consensus on how the trend in inflation should be modeled. While some studies suggest a survey-based measure of long-run inflation expectations as a good empirical proxy for trend...

With the concept of trend inflation now being widely understood to be important to the accuracy of longer-term inflation forecasts, this paper assesses alternative models of trend inflation. Reflecting the models which are common in reduced-form inflation modeling and forecasting, we specify a...

With the concept of trend inflation now widely understood as to be important as a measure of the public's perception of the inflation goal of the central bank and important to the accuracy of longer-term inflation forecasts, this paper uses Bayesian methods to assess alternative models of trend...

This study examines the problem of forecasting an aggregate of cointegrated disaggregates. It first establishes conditions under which forecasts of an aggregate variable obtained from a disaggregate VECM will be equal to those from an aggregate, univariate time series model, and develops a...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi-step predictions from both non-nested and nested linear regression models. In contrast to earlier work -- including West (1996), Clark and McCracken (2001, 2005),and...

Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the...

This note extends the analysis in Stark and Croushore (2001) with an emphasis on the importance of data vintage for survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the choice of latest available or real-time data is critical for...

A number of central banks use (published or unpublished) forecasts of goal variables as key ingredients in their decisions for instrument settings. This use of forecasts is modelled as a particular form of objective with the minimization of which the central bank is charged. We use an estimated...