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Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation

Abstract:

Structural models’ inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction mechanisms, built by automatic model selection, are compared to various robust devices. Forecast-error taxonomies for aggregated and time-disaggregated information reveal that the impacts of structural breaks ...

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Volume:
309
Series:
Discussion paper series
Publication date:
2007-02-06
URN:
uuid:305aa71d-dc14-4700-941a-3d887712c6ad
Local pid:
ora:1348
Language:
English

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