We examine the performance of rolling windows procedures in forecasting inflation. We implement rolling windows augmented Dickey–Fuller (ADF) tests and then conduct a set of Monte Carlo experiments under stylized forms of structural breaks. We find that as long as the nature of inflation is either stationary or non-stationary, popular varying-length window techniques provide little advantage in forecasting over a conventional fixed-length window approach. However, we also find that varying-length window techniques tend to outperform the fixed-length window method under conditions involving a change in the inflation process from stationary to non-stationary, and vice versa. Finally, we investigate methods that can provide early warnings of structural breaks, a situation for which the available rolling windows procedures are not well suited.

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使用滚动窗口进行通胀预测：评估

我们研究了滚动窗口程序在预测通货膨胀方面的表现。我们实施滚动窗口增强迪基-富勒（ADF）测试，然后在结构断裂的程式化形式下进行一组蒙特卡罗实验。我们发现，只要通货膨胀的性质是平稳或非平稳的，流行的变长窗口技术在预测方面就比传统的固定长度窗口方法没有什么优势。然而，我们还发现，在膨胀过程从平稳变为非平稳的情况下，变长度窗口技术往往优于固定长度窗口方法，反之亦然。最后，我们研究了可以提供结构断裂早期预警的方法，而现有的滚动窗口程序不太适合这种情况。