"The Bank of England has constructed a 'suite of statistical forecasting models' (the 'Suite') providing judgement-free statistical forecasts of in ation and output growth as one of many inputs into the forecasting process, and to offer measures of relevant news in the data. The Suite combines a...

We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...