COMBINING THE INFLATION RATE FORECASTS PROVIDED BY THE SURVEY OF PROFESSIONAL FORECASTERS (SPF)

In this study more alternative forecasts combinations were proposed in order to improve the performance of the predictions provided by the Survey of Professional Forecasters (SPF) on the horizon Q1:2000-Q4:2013. For the inflation rate forecasts provided by SPF there are several methods that substantial improved the performance: projection on the mean, the method based on principal components analysis and the least squares approach. The quite good accuracy of alternative combinations may determine persistent bias in the equal weighted forecast and a positive persistence.