Time series models are often adopted for forecasting because of their simplicity and good performance. The number of … potentially useful when forecasting. Hence, in this Paper we construct a large macroeconomic data-set for the UK, with about 80 …

convenient framework for estimation by OLS. Empirically, out-of sample forecasting exercises demonstrate its superiority over a …

aggregating weighted forecasts of the sub-component price indices, versus forecasting the aggregate consumer price index itself … aggregate CPI forecasts, and also offers substantial gains over forecasting using benchmark naïve models. The analysis also … contributes an improved understanding of sectoral inflationary pressures. This forecasting method should be more robust to the …

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the … prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively …, over using only lagged aggregate information in forecasting the aggregate. We show theoretically that the first method of …

speed at which interest rates should fall, damaging growth. Our forecasting models for the new measure of producer price …, terms of trade shocks, collapsing oil, food and other commodity prices, and other shocks. Our US and SA forecasting models …