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We investigate whether a class of trend models, which decompose a time series into an underlying trend and transitory component, with various error term structures can improve upon the forecast performance of commonly used time series models when forecasting consumer price index (CPI) inflation in Australia. The main result is that trend models tend to provide more accurate point and density forecasts...
The cover image is based on the Research Article Time‐varying trend models for forecasting inflation in Australia by Na Guo et al., https://doi.org/10.1002/for.2814.
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