Predictable non-linearities in U.S. inflation


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.

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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
Uncontrolled Keywords: Inflation forecasting,Markov switching models,Recurrent neural networks,Economics and Econometrics,Finance
Publication ISSN: 1873-7374
Last Modified: 03 Jun 2024 07:16
Date Deposited: 14 Feb 2019 16:41
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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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