Forecasting Inflation: the Relevance of Higher Moments
AbstractWe 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
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 407.
Date of creation: 04 Jul 2006
Date of revision:
relative price distribution; higher moments; out-of-sample inflation forecasting;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
- NEP-CBA-2006-07-15 (Central Banking)
- NEP-ECM-2006-07-15 (Econometrics)
- NEP-ETS-2006-07-15 (Econometric Time Series)
- NEP-FOR-2006-07-15 (Forecasting)
- NEP-MAC-2006-07-15 (Macroeconomics)
- NEP-MON-2006-07-15 (Monetary Economics)
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