Predictable non-linearities in U.S. inflation

Abstract

We expand Nakamura’s (2005) neural network based inflation forecasting experiment to an alternative non-linear model; a Markov switching autoregressive (MS-AR) model. The two non-linear models perform approximately on par and outperform the linear autoregressive model on short forecast horizons of one and two quarters. Furthermore, the MS-AR model is the… (More)

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Cite this paper

@inproceedings{Binner2008PredictableNI, title={Predictable non-linearities in U.S. inflation}, author={Jane M. Binner and Thomas Elger and Birger Nilsson and Jonathan A. Tepper}, year={2008} }