Hall, Stephen GeorgeTavlas, George S.Wang, YongliGefang, Deborah2024-09-032024-07Hall, 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.3059.0277-6693 (print)1099-131X (online)10.1002/for.3059http://hdl.handle.net/2263/97981DATA 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.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© 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.Chow testGARCH modellingMarkov switching modelMonte Carlo experimentsRolling windowsSDG-08: Decent work and economic growthPostprint Article