A new structural break model, with an application to Canadian inflation forecasting
نویسندگان
چکیده
منابع مشابه
A new structural break model, with an application to Canadian inflation forecasting
This paper develops an efficient approach to modelling and forecasting time series data with an unknown number of change-points. Using a conjugate prior and conditioning on time-invariant parameters, the predictive density and the posterior distribution of the change-points have closed forms. Furthermore, the conjugate prior is modeled as hierarchical in order to exploit the information across ...
متن کاملA New Structural Break Model with Application to Canadian Inflation Forecasting
This paper develops an efficient approach to model and forecast time-series data with an unknown number of change-points. Using a conjugate prior and conditional on time-invariant parameters, the predictive density and the posterior distribution of the change-points have closed forms. The conjugate prior is further modeled as hierarchical to exploit the information across regimes. This framewor...
متن کاملForecasting Canadian inflation: A semi-structural NKPC approach
a r t i c l e i n f o We examine whether alternative versions of the New Keynesian Phillips Curve equation contain useful information for forecasting the inflation process. We notably consider semi-structural specifications which combine, for closed-and open-economy versions of the model, the structural New Keynesian equation with time series features. Estimation and inference are conducted usi...
متن کاملa new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولForecasting Inflation in India: An Application of ANN Model
This paper presents an application of Artificial Neural Network (ANN) to forecast inflation in India during the period 1994-2009. The study presents four different ANN models on the basis of inflation (WPI), economic growth (IIP), and money supply (MS). The first model is a univariate model based on past WPI only. The other three are multivariate models based on WPI and IIP, WPI and MS, WPI, an...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2014
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.06.004