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: | College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship College of Business and Social Sciences > 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 |
| Publication ISSN: | 1873-7374 |
| Last Modified: | 13 Nov 2024 08:06 |
| Date Deposited: | 14 Feb 2019 16:41 |
| Full Text Link: | |
| Related URLs: |
http://www.scop ... tnerID=8YFLogxK
(Scopus URL) https://www.sci ... 1972?via%3Dihub (Publisher URL) |
PURE Output Type: | Article |
| Published Date: | 2006-12-01 |
| Authors: |
Binner, Jane M.
Elger, C. Thomas Nilsson, Birger Tepper, Jonathan A. |
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License: Creative Commons Attribution Non-commercial No Derivatives
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