Emi Nakamura

Inflation Forecasting Using a Neural Network

View Publication

Abstract:
This paper evaluates the usefulness of neural networks for inflation forecasting. In a pseudo out-of-sample forecasting experiment using recent U.S. data, neural networks outperform univariate autoregressive models on average for short horizons of 1 and 2 quarters. A simple specification of the neural network model and specialized estimation procedures from the neural networks literature appear to play significant roles in the success of the neural network model.

Close Window