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...

In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We...

These essays by Clive W. J. Granger span more than four decades and cover major topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. The introduction by Eric Gysels, Norman R. Swanson and Mark W. Watson places the essays in context and demonstrates their enduring...

These essays by Clive W. J. Granger span more than four decades and cover major topics in causality, integration, cointegration, and long memory. The introduction by Eric Gysels, Norman R. Swanson, and Mark W. Watson places the essays in context and demonstrates their enduring value