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Predictable non-linearities in US inflation

Binner, Jane M. ; Elger, Thomas LU ; Nilsson, Birger and Tepper, Jonathan A. (2006) In Economics Letters 93(3). p.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.
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author
; ; and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
recurrent neural, inflation forecasting, Markov switching models, networks
in
Economics Letters
volume
93
issue
3
pages
323 - 328
publisher
Elsevier
external identifiers
  • wos:000243186500003
  • scopus:33751189393
ISSN
0165-1765
DOI
10.1016/j.econlet.2006.06.001
language
English
LU publication?
yes
id
97f1d94a-dc32-4598-ac81-f8ac34349ae5 (old id 680286)
date added to LUP
2016-04-01 11:49:58
date last changed
2021-06-08 04:51:12
@article{97f1d94a-dc32-4598-ac81-f8ac34349ae5,
  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.},
  author       = {Binner, Jane M. and Elger, Thomas and Nilsson, Birger and Tepper, Jonathan A.},
  issn         = {0165-1765},
  language     = {eng},
  number       = {3},
  pages        = {323--328},
  publisher    = {Elsevier},
  series       = {Economics Letters},
  title        = {Predictable non-linearities in US inflation},
  url          = {http://dx.doi.org/10.1016/j.econlet.2006.06.001},
  doi          = {10.1016/j.econlet.2006.06.001},
  volume       = {93},
  year         = {2006},
}