errors depends on the level of inflation. The results of the comparison show that the parametric quantile forecasts are at … persistence of U.S. inflation. We evaluate these features by comparing the out-of-sample forecast performance of two … least as accurate as the semi-parametric QAR model, in particular for the core inflation measures. This leads us to conclude …

We evaluate conditional predictive densities for U.S. output growth and inflation using a number of commonly used … predictive densities acknowledges the possibility that, although some predictors can improve or deteriorate point forecasts, they … when predicting inflation …