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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
2022-04-28 20:39:21
@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}},
  keywords     = {{recurrent neural; inflation forecasting; Markov switching models; networks}},
  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}},
}