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An Evaluation of Alternative Methods of Forecasting Australian Inflation

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  • Lakshman Alles
  • Dean Horton

Abstract

The purpose of this paper is to evaluate the forecast of Australian inflation based on four alternative procedures: a univariate time series model, an interest rate model, an error correction model and a public survey of inflation forecasts. We derive estimates of expected and unexpected inflation from each of the methods and compare the out‐of‐sample forecasting results. Based on a range of evaluation criteria, the time series model dominates the other models, with the interest rate model, the error correction model and the survey forecasts following in that order.

Suggested Citation

  • Lakshman Alles & Dean Horton, 1999. "An Evaluation of Alternative Methods of Forecasting Australian Inflation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 32(3), pages 237-248, September.
    • Handle: RePEc:bla:ausecr:v:32:y:1999:i:3:p:237-248
    DOI: 10.1111/1467-8462.00111
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