Composite forecasts of inflation: An improvement in forecasting performance

This study investigates the performance of a composite forecast of inflation for the period 1969:I–1992:IV. This composite forecast is generated by combining the forecasts of four methods commonly used to measure expected inflation. Initially, the results of conditional efficiency tests suggest that a composite forecast can improve performance by encompassing a wider information set. The evidence, from the comparison of various forecast series, shows that the composite forecast improves on the performance of the four individual forecasts and an alternative composite forecast in terms of accuracy and rationality criteria.