Inflation forecasting with rolling windows : an appraisal

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dc.contributor.author Hall, Stephen George
dc.contributor.author Tavlas, George S.
dc.contributor.author Wang, Yongli
dc.contributor.author Gefang, Deborah
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


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