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New methods for forecasting inflation and its sub-components: application to the USA.

Abstract:

Forecasts are presented for the 12-month ahead US rate of inflation measured by the chain weighted personal consumer expenditure deflator, PC, and its three main components: non-durable goods, durable goods and services. Monthly models are estimated for 1974 to 1999, and pseudo out-of-sample forecasting performance is examined for 2000-2007. Alternative forecasting approaches for a number of different information sets are compared with benchmark univariate autoregressive models. In general, s...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2008-01-01
Language:
English
UUID:
uuid:6f40f689-101d-477f-af2b-bf339dfdc607
Local pid:
oai:economics.ouls.ox.ac.uk:12127
Deposit date:
2011-08-16

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