K e y w o r d s: prediction, model comparison, density forecasting, inflation, VAR models, shrinkage. J E L Classification: E31, E37, C53, C32.

Abstract This paper revisits real-time forecasting of U.S. inflation based on Phillips curve-inspired linear regression models. Our innovation is to allow for both structural breaks in the regression parameters and the variance as well as uncertainty regarding which set of predictor variables one can include in these regressions (‘model uncertainty’). Structural breaks are described by occasion...

The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a simple frictionless dynamic stochastic general equilibrium (DSGE) model to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous expectations, and update their beliefs based on past performance, as in Bro...

The Federal Open Market Committee (FOMC) of the Federal Reserve consists of votingand non-voting members. Apart from deciding about interest rate policy, members individually formulate regular inflation forecasts. This paper uncovers systematic differences in individual inflation forecasts submitted by voting and non-voting members. Based on a data set with individual forecasts recently made av...

This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the G7. The estimated volati...

For many countries, statistical information on macroeconomic variables is not abundant and, hence, creating forecasts for a key variable like inflation can be cumbersome. This paper addresses the creation of current year from MIDAS regression annual rates in Suriname where monthly are explanatory variables, and latter only available one half decade. The constructed model associates with hybrid ...