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Binner, J., Elgar, T., Nilsson, B. and Tepper, J. 
ORCID: 0000-0001-7339-0132,
2006.
Predictable non-linearities in U.S. inflation.
Economics Letters, 93 (3), pp. 323-328.
ISSN 0165-1765
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Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
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: |
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| Rights: | © 2006 Elsevier | ||||
| Divisions: | Schools > School of Science and Technology | ||||
| Record created by: | EPrints Services | ||||
| Date Added: | 09 Oct 2015 10:13 | ||||
| Last Modified: | 04 Feb 2022 12:25 | ||||
| URI: | https://irep.ntu.ac.uk/id/eprint/9698 |
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