Journal
ECONOMIC JOURNAL
Volume 114, Issue 498, Pages 844-866Publisher
OXFORD UNIV PRESS
DOI: 10.1111/j.1468-0297.2004.00246.x
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We consider evaluating the UK Monetary Policy Committee's inflation density forecasts using probability integral transform goodness-of-fit tests. These tests evaluate the whole forecast density. We also consider whether the probabilities assigned to inflation being in certain ranges are well calibrated, where the ranges are chosen to be those of particular relevance to the MPC, given its remit of maintaining inflation rates in a band around 21/2% annum. Finally, we discuss the decision-based approach to forecast evaluation in relation to the MPC forecasts.
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