Forecasting inflation using the term structure and MARS
AbstractThis study revisits the issue of forecasting changes in inflation using non-linear non-parametric methods. The results indicate the presence of threshold effects in the relationship between the information in the term structure and changes in the rate of inflation.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 12 (2005)
Issue (Month): 4 ()
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- Frederic S. Mishkin, 1991. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
- Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
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