Emi Nakamura

Inflation Forecasting Using a Neural Network

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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.

Source: Economics Letters
Exact Citation:
Nakamura, Emi. "Inflation Forecasting Using a Neural Network." Economics Letters 86, no. 3 (2005): 373-378.
Volume: 86
Number: 3
Pages: 373-378
Date: 2005