The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the … the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium … and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. …

Sisällysluettelo: Kari Takala Studies in time series analysis of consumption, asset prices and forecasting 11 Kari … seven papers deals with three different areas of econometric applications: consumption, asset prices, and forecasting … consumption theories and formulates an error-correction forecasting model for consumption.A single cointegration relationship is …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …