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 |