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Has U S Inflation Really Become Harder to Forecast?

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Figure

Table 1: Pseudo out-of-sample forecasting results for GDP inflation with the AR(AIC)model as the benchmark.1970:I—1983:IV1984:I—2004:IV
Table 2: Pseudo out-of-sample forecasting results for GDP inflation with the AR(0,4)model as the benchmark.
Table 3: Percentage changes in the relative MSFE in relation to the AR(AIC) model(left panel) and the AR(0,4) model (right panel) between the 1970—1983 and 1984—2004 periods.

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