Riksbank's and NIER's forecasts of Swedish inflation

The data on Swedish Riksbank's density forecasts of CPI inflation, actual inflation and NIER's forecasts of Swedish inflation are used in an illustration of testing forecast efficiency conditions.<br>FParam.tsv<br>Sweden's central bank (Riksbank) started to publish its density forecasts of inflation in June 1998. The forecasts are in the form of two-piece normal distribution. The target variable is the yearly CPI inflation. We evaluate only one-year-ahead forecasts. There are 64 forecasts available for evaluation for the period 1999–2015. They were issued 4 times a year with approximately quarterly frequency. Forecasts before 2007 are conditional, assuming a predetermined trajectory of the repo rate. The file contains 4 variables: the 3 parameters of two-piece normal distribution mu, s1, s2 and the date (month).<br>Actual.tsv<br>The file contains the actual values of the CPI innflation (the so called shadow version).<br>Actual_Last.tsv<br>The file contains the actual lagged values of the CPI innflation.<br>NIER.tsv<br>The file contains the point forecasts of inflation by the National Institute of Economic Research.<br>