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Forecasting Inflation Using Constant Gain Least Squares
Finnish Tax Administration.
Confederation of Swedish Enterprise, Stockholm, Sweden.
National Institute of Economic Research, Stockholm, Sweden.ORCID-id: 0000-0002-4840-7649
2014 (engelsk)Inngår i: Australian Economic Papers, ISSN 0004-900X, E-ISSN 1467-8454, Vol. 53, nr 1-2, s. 2-15Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper assesses the usefulness of constant gain least squares when forecasting inflation.An out-of-sample forecast exercise is conducted, in which univariate autoregressive models for inflation in Australia, Sweden, the United Kingdom and the United States are used. The results suggest that it is possible to improve the forecast accuracy by employing constant gain least squares instead of ordinary least squares. In particular, when using a gain of 0.05, constant gain least squares generally outperforms the corresponding autoregressive model estimated with ordinary least squares. In fact, at longer forecast horizons, the root mean square forecast error is reliably lowered for all four countries and for all lag lengths considered in the study.

sted, utgiver, år, opplag, sider
John Wiley & Sons, 2014. Vol. 53, nr 1-2, s. 2-15
HSV kategori
Forskningsprogram
Nationalekonomi
Identifikatorer
URN: urn:nbn:se:oru:diva-61610DOI: 10.1111/1467-8454.12017ISI: 000343957100002Scopus ID: 2-s2.0-84911483010OAI: oai:DiVA.org:oru-61610DiVA, id: diva2:1150093
Tilgjengelig fra: 2017-10-17 Laget: 2017-10-17 Sist oppdatert: 2018-06-25bibliografisk kontrollert

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