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 …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

We propose simulation-based forecasting methods for the noncausal vector autoregressive model proposed by Lanne and … simulation procedures. Simulation experiments demonstrate that gains in forecasting accuracy are achieved by using the correct … of U.S. inflation and marginal cost turns out superior to the best-fitting conventional causal VAR model in forecasting …

general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …

.S. inflation. …

-of-sample ; prediction ; testing ; multiple model comparisons ; inflation forecasting …-statistic has best power. We illustrate, our procedures by comparing forecasts of different models for U.S. inflation. -- Out …