Simulation-based forecasting methods for a non-Gaussian noncausal vector autoregressive (VAR) model are proposed. In … out superior to the best-fitting conventional causal VAR model in forecasting inflation. … analytical solution is unfeasible and, therefore, simulation or numerical methods are required in computing forecasts. It turns …

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with … desired policy goals. This paper develops a group of models to forecast inflation for Argentina, which includes autoregressive … can improve the forecast ability of the univariate autoregressive benchmark’s model of inflation. The Giacomini-White test …

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models …

This paper surveys the recent literature on inflation forecasting and conducts an extensive empirical analysis on … forecasting inflation in Singapore, Japan, South Korea and Hong Kong paying particular attention to whether the inflation …-markup theory can help to forecast inflation. We first review the relative performance of different predictors in forecasting h …

This paper reports results from a forecasting study for inflation, industrial output and exchange rates for India. We … and our analysis is based on linear models, ARIMA and bivariate transfer functions and restricted VAR. Forecasting … overall results tend to support the use of a restricted VAR, as this model had the best forecasting performance more …

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the …, which should be manifested, possibly with a lag, in both producer and consumer prices. We build a forecasting model based on … a two or three equation system involving CPI and PPI inflation where the effects of the exchange rate and import prices …

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …