We are grateful to two anonymous referees, an Associate Editor, conference and seminar participants at the 2024 NBER-NSF Time Series Conference, the Federal Reserve Banks of Cleveland and New York, the Bank of England, the 2023 International Symposium on Forecasting, and the University of East Anglia. West thanks the US Social Security Administration (SSA) for financial support from grant RDR18000003, funded as part of the Retirement and Disability Research Consortium.