In this paper we examine the prevalence of data, specification, and parameter uncertainty in the formation of simple rules that mimic monetary policymaking decisions. Our approach is to build real-time data sets and simulate a real-time policy-setting environment in which we assume that policy...

Various inflation forecasting models are compared for the period 1979--2003 using a simulated out-of-sample forecasting framework. Our findings are (1) M2 has marginal predictive content for inflation; (2) it is necessary to allow for the possibility that money, prices, and output are...