| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7877 |
| DP7877 New methods for forecasting inflation, applied to the US. | |
| John Muellbauer; Janine Aron | |
| 发表日期 | 2010-06-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared with benchmark univariate autoregressive models, and substantial out-performance is demonstrated. Three key ingredients to the out-performance are: including equilibrium correction terms in relative prices; introducing non-linearities to proxy state dependence in the inflation process; and replacing the information criterion, commonly used in VARs to select lag length, with a ?parsimonious longer lags? (PLL) parameterisation. Forecast pooling or averaging also improves forecast performance. |
| 主题 | International Macroeconomics |
| 关键词 | Error correction models Evaluating forecasts Model selection Multivariate time series |
| URL | https://cepr.org/publications/dp7877 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536714 |
| 推荐引用方式 GB/T 7714 | John Muellbauer,Janine Aron. DP7877 New methods for forecasting inflation, applied to the US.. 2010. |
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