๐”– Bobbio Scriptorium
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Combining competing forecasts of inflation using a bivariate arch model

โœ Scribed by Robert F. Engle; C.W.J. Granger; Dennis Kraft

Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
740 KB
Volume
8
Category
Article
ISSN
0165-1889

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## Abstract This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the