It has been suggested that inflation forecasts derived from short-term interest rates are as accurate as time-series forecasts. Previous analyses of this notion have focused on U.S. data, providing ...

Andrew C. Harvey, Thomas M. Trimbur, General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series, The Review of Economics and Statistics, Vol. 85, No. 2 (May, 2003), pp.