Real-time inflation forecast densities from ensemble Phillips curves

Garratt, Anthony; Mitchell, James; Vahey, Shaun; Wakerly, Elizabeth

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Real-time inflation forecast densities from ensemble Phillips curves

Date

2011

Authors

Garratt, Anthony

Mitchell, James

Vahey, Shaun

Wakerly, Elizabeth

Publisher

Elsevier

Abstract

We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty