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Forecasting Inflation: the Relevance of Higher Moments

Author

Listed:
  • Jane M. Binner

    (Aston University)

  • C. Thomas Elger

    (Lund University)

  • Barry E. Jones

    (SUNY Binghamton)

  • Birger Nilsson

    (Lund University)

Abstract

We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to monetary authorities, policy analysts and academic economists

Suggested Citation

  • Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006. "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006 407, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:407
    as

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    File URL: http://repec.org/sce2006/up.6916.1141148220.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    relative price distribution; higher moments; out-of-sample inflation forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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