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dc.contributor.author | Hall, Stephen George![]() |
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dc.contributor.author | Tavlas, George S.![]() |
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dc.contributor.author | Wang, Yongli![]() |
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dc.contributor.author | Gefang, Deborah![]() |
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dc.date.accessioned | 2024-09-03T07:22:56Z | |
dc.date.issued | 2024-07 | |
dc.description | DATA AVAILABILITY STATEMENT : All data are taken from publicly available data sources. The particular vintage of data used in this study is available upon request from the authors. | en_US |
dc.description.abstract | We examine the performance of rolling windows procedures in forecasting inflation. We implement rolling windows augmented Dickey–Fuller (ADF) tests and then conduct a set of Monte Carlo experiments under stylized forms of structural breaks. We find that as long as the nature of inflation is either stationary or non-stationary, popular varying-length window techniques provide little advantage in forecasting over a conventional fixed-length window approach. However, we also find that varying-length window techniques tend to outperform the fixed-length window method under conditions involving a change in the inflation process from stationary to non-stationary, and vice versa. Finally, we investigate methods that can provide early warnings of structural breaks, a situation for which the available rolling windows procedures are not well suited. | en_US |
dc.description.department | Economics | en_US |
dc.description.embargo | 2026-01-14 | |
dc.description.librarian | hj2024 | en_US |
dc.description.sdg | SDG-08:Decent work and economic growth | en_US |
dc.description.uri | http://wileyonlinelibrary.com/journal/for | en_US |
dc.identifier.citation | Hall, S.G., Tavlas, G.S., Wang, Y., & Gefang, D. (2024). Inflation forecasting with rolling windows: An appraisal. Journal of Forecasting, 43(4), 827–851. https://doi.org/10.1002/for.3059. | en_US |
dc.identifier.issn | 0277-6693 (print) | |
dc.identifier.issn | 1099-131X (online) | |
dc.identifier.other | 10.1002/for.3059 | |
dc.identifier.uri | http://hdl.handle.net/2263/97981 | |
dc.language.iso | en | en_US |
dc.publisher | Wiley | en_US |
dc.rights | © 2024 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : Inflation forecasting with rolling windows: An appraisal. Journal of Forecasting, 43(4), 827–851. https://doi.org/10.1002/for.3059. The definite version is available at : http://wileyonlinelibrary.com/journal/for. | en_US |
dc.subject | Chow test | en_US |
dc.subject | GARCH modelling | en_US |
dc.subject | Markov switching model | en_US |
dc.subject | Monte Carlo experiments | en_US |
dc.subject | Rolling windows | en_US |
dc.subject | SDG-08: Decent work and economic growth | en_US |
dc.title | Inflation forecasting with rolling windows : an appraisal | en_US |
dc.type | Postprint Article | en_US |