"Inflation Forecasting Using a Neural Network"
Volume: 86 | Issue: 3 | Pages: 373-378
Publication type: Journal article
Research Archive Topic: Corporate Finance
This paper evaluates the usefulness of neural networks for inflation forecasting. In a pseudo out-of-sample forecasting experiment using recent U.S. data, neural networks outperform univariate autoregressive models on average for short horizons of 1 and 2 quarters. A simple specification of the neural network model and specialized estimation procedures from the neural networks literature appear to play significant roles in the success of the neural network model.
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