oru.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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 (English)In: Australian Economic Papers, ISSN 0004-900X, E-ISSN 1467-8454, Vol. 53, no 1-2, p. 2-15Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
John Wiley & Sons, 2014. Vol. 53, no 1-2, p. 2-15
National Category
Economics
Research subject
Economics
Identifiers
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
Available from: 2017-10-17 Created: 2017-10-17 Last updated: 2018-06-25Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records BETA

Österholm, Pär

Search in DiVA

By author/editor
Österholm, Pär
In the same journal
Australian Economic Papers
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 84 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf