Predictable non-linearities in U.S. inflation

Binner, Jane M., Elger, C. Thomas, Nilsson, Birger and Tepper, Jonathan A. (2006). Predictable non-linearities in U.S. inflation. Economics Letters, 93 (3), pp. 323-328.

Abstract

This paper compares the out-of-sample inflation forecasting performance of two non-linear models; a neural network and a Markov switching autoregressive (MS-AR) model. We find that predictable non-linearities in inflation are best accounted for by the MS-AR model.

Publication DOI: https://doi.org/10.1016/j.econlet.2006.06.001
Divisions: Aston Business School > Economics, Finance & Entrepreneurship
Aston Business School
Additional Information: © 2006, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Inflation forecasting,Markov switching models,Recurrent neural networks,Economics and Econometrics,Finance
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
https://www.sci ... 1972?via%3Dihub (Publisher URL)
Published Date: 2006-12-01
Authors: Binner, Jane M.
Elger, C. Thomas
Nilsson, Birger
Tepper, Jonathan A.

Export / Share Citation


Statistics

Additional statistics for this record