The macroeconomic and fiscal implications of inflation forecast errors

DOI10.1016/J.JEDC.2018.01.030MaRDI QIDQ1657640zbMATH OpenOpenAlexFDO

Authors Harris Dellas, Heather D. Gibson, Stephen G. Hall, George S. Tavlas

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2381/40715

zbMATH Keywords

combining forecastsforecasting during structural changeinflation forecastingnonlinear forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)

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Cites work

• Artificial neural networks: an econometric perspective^∗
• Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation and Forecasting in Models with Multiple Breaks
• Forecasting by factors, by variables, by both or neither?
• Forecasting Time Series Subject to Multiple Structural Breaks
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• scientific article; zbMATH DE number 3782684 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Non-linear models: where do we go next - time varying parameter models?
• Predicting the equity premium with dividend ratios
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Selection of estimation window in the presence of breaks
• Strong rules for detecting the number of breaks in a time series

Cited in

(8)

• Threshold margins, growth, and inflation: creating real economic value
• Fiscal forecasting: The track record of the IMF, OECD and EC
• Bananas and petrol: further evidence on the forecasting accuracy of the ABS ‘headline’ and ‘underlying’ rates of inflation
• Forecast accuracy and effort: the case of US inflation rates
• Forecasting inflation using dynamic model averaging
• New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors
• Bilinear forecast risk assessment for non-systematic inflation: theory and evidence
• Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

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