Macroeconomics

RMSFE
MAE
h=1 h=4 h=8 h=1 h=4 h=8
SW 2.403 2.989 3.192 1.617 2.076 2.299
Normal
Trend 0.908 0.938 1.038 0.898 0.978 1.042
(0.029) (0.246) (0.501) (0.037) (0.677) (0.354)
Trend-B 1.306 1.074 0.943 1.436 1.160 1.019
(0.000) (0.445) (0.651) (0.000) (0.139) (0.884)
AR(1) 0.877 0.886 0.899 0.896 0.929 0.903
(0.004) (0.062) (0.262) (0.036) (0.287) (0.284)
AR(1)-B 0.947 0.902 0.917 0.981 0.928 0.923
(0.305) (0.177) (0.478) (0.757) (0.346) (0.488)
AR(2) 0.889 0.870 0.951 0.895 0.925 0.950
(0.007) (0.032) (0.534) (0.024) (0.240) (0.537)
AR(2)-B 0.932 0.879 0.910 0.952 0.914 0.895
(0.109) (0.060) (0.375) (0.359) (0.195) (0.258)
AR(4) 0.862 0.850 0.923 0.871 0.909 0.919
(0.004) (0.016) (0.255) (0.016) (0.132) (0.202)
AR(4)-B 1.043 0.902 0.926 0.973 0.906 0.896
(0.741) (0.140) (0.537) (0.700) (0.141) (0.315)
Student-t
Trend 0.926 0.927 1.028 0.886 0.958 1.015
(0.143) (0.213) (0.708) (0.028) (0.443) (0.811)
Trend-B 1.273 1.042 0.914 1.323 1.070 0.963
(0.001) (0.662) (0.491) (0.000) (0.481) (0.758)
AR(1) 0.878 0.901 0.918 0.888 0.949 0.911
(0.003) (0.064) (0.324) (0.026) (0.393) (0.291)
AR(1)-B 0.869 0.882 0.898 0.891 0.882 0.855
(0.004) (0.100) (0.404) (0.040) (0.114) (0.198)
AR(2) 0.918 0.897 0.990 0.915 0.949 0.976
(0.042) (0.068) (0.901) (0.060) (0.413) (0.768)
AR(2)-B 0.922 0.898 0.948 0.960 0.914 0.908
(0.056) (0.114) (0.608) (0.391) (0.188) (0.340)
AR(4) 0.869 0.852 0.919 0.873 0.904 0.906
(0.005) (0.012) (0.262) (0.017) (0.115) (0.215)
AR(4)-B 0.929 0.902 0.965 0.945 0.923 0.936
(0.215) (0.121) (0.746) (0.318) (0.204) (0.499)
Table 2: Point forecasts for US CPI inflation 1973Q1–2012Q4. The Root Mean Squared Error
(RMSE) and the Mean Absolute Error (MAE) are expressed in relative terms with respect
to the SW model. The forecast horizon is ‘h’. In brackets are the p-values of Giacomini and
White’s (2006) test. Values in bold denote a significance at the 10% level.
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