Rational expectations and fixed-event forecasts: An application to UK inflation

Can forecasting performance be improved

Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate

✍ Pär Österholm 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 145 KB

## Abstract This paper investigates whether the forecasting performance of Bayesian autoregressive and vector autoregressive models can be improved by incorporating prior beliefs on the steady state of the time series in the system. Traditional methodology is compared to the new framework—in which