Predictable non-linearities in U.S. inflation

Binner, J., Elgar, T., Nilsson, B. and Tepper, J., 2006. Predictable non-linearities in U.S. inflation. Economics Letters, 93 (3), pp. 323-328. ISSN 0165-1765

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Abstract

We expand Nakamura’s (2005) neural network based inflation forecasting experiment to an alternative non-linear model; a Markov switching autoregressive (MS-AR) model. The two non-linear models perform approximately on par and outperform the linear autoregressive model on short forecast horizons of one and two quarters. Furthermore, the MS-AR model is the best performer on longer horizons of three and four quarters.

Item Type: Journal article
Publication Title: Economics Letters
Creators: Binner, J., Elgar, T., Nilsson, B. and Tepper, J.
Publisher: Elsevier
Date: 2006
Volume: 93
Number: 3
ISSN: 0165-1765
Identifiers:
NumberType
10.1016/j.econlet.2006.06.001DOI
Rights: © 2006 Elsevier
Divisions: Schools > School of Science and Technology
Depositing User: EPrints Services
Date Added: 09 Oct 2015 10:58
Last Modified: 23 Aug 2016 09:13
URI: http://irep.ntu.ac.uk/id/eprint/20862

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