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 …

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 …

forecasting ability has been compared to that of a linear univariate benchmark (ARIMA) model. Main forecast diagnostics have been …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

at long horizons. This paper develops easily implemented numerical simulation algorithms for analyzing stationary and …

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a …