Neural Network Models for Inflation Forecasting: An Appraisal

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Neural Network Models for Inflation Forecasting: An Appraisal

Author Info

Ali Choudhary (University of Surrey and State Bank of Pakistan)
Adnan Haider (State Bank of Pakistan)

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Abstract

We assess the power of artificial neural network models as forecasting tools for monthly inflation rates for 28 OECD countries. For short out-of-sample forecasting horizons, we find that, on average, for 45% of the countries the ANN models were a superior predictor while the AR1 model performed better for 21%. Furthermore, arithmetic combinations of several ANN models can also serve as a credible tool for forecasting inflation.

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Paper provided by Department of Economics, University of Surrey in its series Department of Economics Discussion Papers with number 0808.

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Length: 7 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:sur:surrec:0808

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-12-07 (All new papers)
NEP-CBA-2008-12-07 (Central Banking)
NEP-CMP-2008-12-07 (Computational Economics)
NEP-ETS-2008-12-07 (Econometric Time Series)
NEP-FOR-2008-12-07 (Forecasting)
NEP-MAC-2008-12-07 (Macroeconomics)
NEP-MON-2008-12-07 (Monetary Economics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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Other versions:
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