Selection and forecasting are integral to econometric modelling but a unified treatment is rarely considered. This book addresses both issues, with an application to UK inflation. The theme of model selection underpins all chapters of the book. The development of any econometric model requires model selection rules because economic processes are extremely complex and the underlying data generating process is unknown. Furthermore, different model selection rules may be required for in-sample modelling and for forecasting, when the data generating process is evolutionary, non-stationary, and...