Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach

DOI10.1198/JBES.2010.08347MaRDI QIDQ3089157zbMATH OpenOpenAlexFDO

Authors Andrew J. Patton, Allan Timmermann

Publication date 24 August 2011

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/jbes.2010.08347

zbMATH Keywords

fixed-event forecastsKalman filteringmultiple forecast horizonssurvey data

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(15)

• Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data
• Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
• Growth forecast revisions over business cycles: evidence from the survey of professional forecasters
• What model for the target rate
• Spreads versus professional forecasters as predictors of future output change
• Measuring uncertainty about long-run predictions
• Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility
• On the directional accuracy of inflation forecasts: evidence from South African survey data
• Do German economic research institutes publish efficient growth and inflation forecasts? A Bayesian analysis
• The diversity of forecasts from macroeconomic models of the US economy
• Prediction intervals for economic fixed-event forecasts
• Term Structures of Inflation Expectations and Real Interest Rates
• Perceived Inflation Persistence
• Simple macroeconomic forecast distributions for the G7 economies
• Understanding multi-horizon forecasts: identification, estimation and testing

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