BoE paper studies forecasting models


The Bank of England today (May 18) released a working paper that compares the performance of a wide variety of time-varying parameter models in forecasting output growth, inflation and the short-term interest rate.

The authors, Alina Barnett, Haroon Mumtaz and Konstantinos Theodoridis, find that allowing for time-varying parameters can lead to large and statistically significant gains in forecast accuracy.

Click here to read the paper.


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