The aim of this paper is to assess inflation forecasting acurracy over the short-term horizon using Consumer Price Index (CPI) disaggregated data. That is, aggregating forecasts is compared with aggregate forecasting. In particular, three questions are addressed: i) one should bottom-up or not,...

It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet multiresolution analysis, a time series can be decomposed into different time-scale components and a model can be fitted to each component to improve the forecast accuracy of the...

The simplicity of the standard diffusion index model of Stock and Watson has certainly contributed to its success among practitioners resulting in a growing body of literature on factor-augmented forecasts. However, as pointed out by Bai and Ng, the ranked factors considered in the forecasting...

This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a “fishing contest”, where the “participants” are bridge models, models based on principal components (derived from...

Over recent years several methods to deal with high-frequency data (economic, financial and other) have been proposed in the literature. An interesting example is for instance interval valued time series described by the temporal evolution of high and low prices of an asset. In this paper a new...

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made...

This paper addresses some issues concerning the definition and measurement of inflation persistence in the context of the univariate approach. First, it is stressed that any estimate of persistence should be seen as conditional on the given assumption for the long run level of inflation and that...

We explore the use of univariate low-frequency filters in macroeconomic forecasting. This amounts to targeting only specific fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains...

We explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Specifically, survey nowcasts are treated as anadditional observation of the time series of interest. This simple approach delivers enhanced model...