Predictable non-linearities in US inflation

• 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.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

Nyckelord

recurrent neural

inflation forecasting

Markov switching models

networks

Publikations- och innehållstyp

art (ämneskategori)

ref (ämneskategori)