Predictable non-linearities in U.S. inflation
نویسندگان
چکیده
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 best performer on longer horizons of three and four quarters. JEL classification: C45; C52; C53; E37
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