We compare the Bank of England's Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. The results reveal the well-known difficulty of forecasting in a stable macroeconomic environment, and the Inflation Report forecasts of GDP growth are generally...

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

The appreciation of sterling that began in 1996 appeared to pass through into import prices very slowly, an apparent example of incomplete exchange rate pass-through. Incomplete pass-through has typically been explained by a combination of sticky prices and pricing to market. This can have...

This paper explores the effects of measurement error on dynamic forecasting models. It illustrates a trade-off that confronts forecasters and policymakers when they use data that are measured with error. On the one hand, observations on recent data give valuable clues as to the shocks that are...

Over time, economic statistics are refined. This means that newer data are typically less well measured than old data. Time or vintage-variation in measurement error like this influences how forecasts should be made. Measurement error is obviously not directly observable. This paper shows that...

This paper corrects some points in the appendix of the paper: George Kapetanios (2003) "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses", Studies in Nonlinear Dynamics & Econometrics: Vol. 7: No. 2, Article 2.

Using a new methodology that allows nonlinearities, we find frequent support for external debt sustainability in a number of Latin American countries. Our findings reverse the results for several countries, obtained with traditional unit-root tests and present a richer framework for evaluating...

In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model...