Corpus ID: 59471780

A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty

  title={A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty},
  author={Ippei Fujiwara and Maiko Koga},
  journal={Monetary and and Economic Studies},
Typically, when conducting econometric forecasting, estimation is carried out on a forecasting model that is built upon some assumed economic structure. However, such techniques cannot avoid running into the possibility of misspecification, which will occur should there be some error in the assumptions underlying this economic structure. In this paper, in which we concentrate upon inflation forecasting, we present a method of hitting every vector autoregression (VAR) and forecasting under model… Expand

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