We evaluate the ability of several univariate models to predict inflation in a number of countries and at several forecasting horizons. We focus on forecasts coming from a family of ten seasonal models that we call the Driftless Extended Seasonal ARIMA (DESARIMA) family. Using out-of-sample Root...

In this paper we take an in-depth view of one particular type of inefficiency that may be present in the combination of forecasts: Mincer and Zarnowitz (MZ) inefficiency. Under mild assumptions we show that weighted combinations of forecasts are MZ-inefficient with probability one. We also show...

Inference about predictive ability is usually carried-out in the form of pairwise comparisons between two forecasting methods. Nevertheless, some interesting questions are concerned with families of models and not just with a couple of forecasting strategies. For instance: Are time-series models...

In this article we evaluate the Central Bank of Chile annual GDP growth forecasts during the period 1991-2009 using a novel real-time database. We compare the Central Bank of Chile forecasts with those of the Survey of Professional Forecasters (SPF), Consensus Forecasts, and simple time-series...