File(s) under embargo
Reason: 24 month publisher embargo
8
month(s)5
day(s)until file(s) become available
Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations
journal contribution
posted on 2023-03-17, 12:18 authored by SG Hall, GS Tavlas, Y WangThis paper considers the problem of forecasting inflation in the United States, the euro area, and the United Kingdom in the presence of possible structural breaks and changing parameters. We examine a range of moving window techniques that have been proposed in the literature. We extend previous works by considering factor models using principal components and dynamic factors. We then consider the use of forecast combinations with time-varying weights. Our basic finding is that moving windows do not produce a clear benefit to forecasting. Time-varying combination of forecasts does produce a substantial improvement in forecasting accuracy.
History
Author affiliation
School of Business, University of LeicesterVersion
- AM (Accepted Manuscript)
Published in
Journal of ForecastingVolume
42Issue
3 - Special Issue: Advances in Forecasting in Macroeconomics and Financial MarketsPagination
514-529Publisher
Wileyissn
0277-6693eissn
1099-131XCopyright date
2023Available date
2025-01-23Publisher DOI
Language
enPublisher version
Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC