G-7 Inflation Forecasts
نویسنده
چکیده
This paper compares the forecasting performance of some leading models of inflation for the cross section of G-7 countries. We show that bivariate and trivariate models suggested by economic theory or statistical analysis are hardly better than univariate models. Phillips’ curve models fit well into this class. Significant improvements in both MSE of the forecasts and in turning point prediction can be obtained with time varying coefficients models which exploit international interdependencies. The performance of latter class of models is independent of the sample, while it is not the case for standard specifications. JEL Classification No.
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