With the concept of trend inflation now being widely understood to be important to the accuracy of longer-term inflation forecasts, this paper assesses alternative models of trend inflation. Reflecting the models which are common in reduced-form inflation modeling and forecasting, we specify a...

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive and Bayesian vector autoregressive models that incorporate some form...

Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper...

SUMMARY This paper examines the asymptotic and finite‐sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (Econometrica 1989; <b>57</b>: 307–333). Two models are overlapping when the true model contains just a subset of variables...

We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts,...