Forecasting and tracking real-time data revisions in inflation persistence
AbstractThis paper presents three local nonparametric forecasting methods that are able to utilize the isolated periods of revised real-time PCE and core PCE for 62 vintages within a historic framework with respect to the nonparametric exclusion-from-core inflation persistence model. The flexibility, provided by the kernel and window width, permits the incorporation of the forecasted value into the appropriate time frame. For instance, a low inflation measure can be included in other low inflation time periods in order to form more optimal forecasts by combining values that are similar in terms of metric distance as opposed to chronological time. The most efficient nonparametric forecasting method is the third model, which uses the flexibility of nonparametrics to its utmost by making forecasts conditional on the forecasted value.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34439.
Date of creation: 01 Nov 2011
Date of revision:
Inflation Persistence; Real-Time Data; Monetary Policy; Nonparametrics; Forecasting;
Other versions of this item:
- Tierney, Heather L.R., 2013. "Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence," MPRA Paper 51398, University Library of Munich, Germany.
- Tierney, Heather L.R., 2013. "Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence," MPRA Paper 53374, University Library of Munich, Germany, revised Nov 2013.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-CBA-2011-11-07 (Central Banking)
- NEP-ECM-2011-11-07 (Econometrics)
- NEP-FOR-2011-11-07 (Forecasting)
- NEP-MON-2011-11-07 (Monetary Economics)
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