Real-Time Inflation Forecasting in a Changing World

This article revisits the accuracy of inflation forecasting using activity and expectations variables. We apply Bayesian model averaging across different regression specifications selected from a set of potential predictors that includes lagged values of inflation, a host of real activity data, term...

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Bibliographic Details
Published in:	Journal of business & economic statistics 2013-01, Vol.31 (1), p.29-44
Main Authors:	Groen, Jan J. J., Paap, Richard, Ravazzolo, Francesco
Format:	Article
Language:	English
Subjects:	Bayesian analysis Bayesian model averaging Density forecasting Economic forecasting Economic forecasting models Economic inflation Economic models Forecasting models Inflation Inflation rates Model uncertainty Modeling Parametric models Point forecasts Real time Real-time data Statistical forecasts Statistical models Structural breaks Studies Time series forecasting Uncertainty
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