Forecasting Inflation: the Relevance of Higher Moments

We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to monetary authorities, policy analysts and academic economists

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Year of publication:	2006-07-04
Authors:	Binner, Jane M. ; Elger, C. Thomas ; Jones, Barry E. ; Nilsson, Birger
Institutions:	Society for Computational Economics - SCE
Subject:	relative price distribution \| higher moments \| out-of-sample inflation forecasting

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Extent:	application/pdf
Series:	Computing in Economics and Finance 2006.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Computing in Economics and Finance 2006 Number 407
Classification:	C22 - Time-Series Models ; C43 - Index Numbers and Aggregation ; E27 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342883