Research Papers in Economics, Department of Economics, Stockholm University
Are Inflation Forecasts from Major Swedish Forecasters Biased?
Abstract: Inflation forecasts made 1999-2005 by Sveriges Riksbank
and Konjunkturinstitet of Swedish inflation rates 1999-2007 are tested for
unbiasedness; i.e., are the mean forecast errors zero? The bias is in the
order of -0.1 percentage units for horizons below one year and in the order
of 0.1 and 0.6 (depending on inflation measure) above one year. Using the
maximum entropy bootstrap for inference bias is significant whereas
inference using HAC indicates insignificance.
Keywords: Forecast evaluation; inflation; unbiasedness; maximum entropy bootstrap; (follow links to similar papers)
JEL-Codes: E37; (follow links to similar papers)
13 pages, June 3, 2010
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