benchmark_ar2 {hdflex}

AR(2) benchmark forecasts for quarterly U.S. inflation

Description

Out-of-sample one-step-ahead AR(2) benchmark forecasts for the period from 1991-Q2 to 2021-Q4. The AR(2) models are estimated with OLS and intercept.

Usage

benchmark_ar2

Format

A matrix with 123 quarterly observations (rows) and 4 benchmarks (columns):

GDPCTPI

OOS-AR2-benchmark forecast for quarterly GDP deflator (GDPCTPI).

PCECTPI

OOS-AR2-benchmark forecast for quarterly PCE deflator (PCECTPI).

CPIAUCSL

OOS-AR2-benchmark forecast for quarterly Total CPI (CPIAUCSL).

CPILFESL

OOS-AR2-benchmark forecast for quarterly Core CPI (CPILFESL).

Source

<https://doi.org/10.1111/iere.12623>

References

Koop, G. and Korobilis, D. (2023) "Bayesian dynamic variable selection in high dimensions." International Economic Review.