Predictable non-linearities in US inflation
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/680286
- author
- Binner, Jane M. ; Elger, Thomas LU ; Nilsson, Birger and Tepper, Jonathan A.
- organization
- publishing date
- 2006
- 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}},
}