Forecasting inflation using commodity price aggregates
From MaRDI portal
Publication:472756
DOI10.1016/j.jeconom.2014.06.013zbMath1312.91069MaRDI QIDQ472756
Eric Zivot, Yu-chin Chen, Stephen J. Turnovsky
Publication date: 20 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.013
91B84: Economic time series analysis
91B64: Macroeconomic theory (monetary models, models of taxation)
Related Items
Penalized time-varying model averaging, Temporal clustering of time series via threshold autoregressive models: application to commodity prices, Application of wavelet decomposition in time-series forecasting, Neural network models for inflation forecasting: a revisit
Cites Work
- Unnamed Item
- Approximately normal tests for equal predictive accuracy in nested models
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Regression models with mixed sampling frequencies
- Least angle regression. (With discussion)
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Can Exchange Rates Forecast Commodity Prices?*
- Estimating and Testing Linear Models with Multiple Structural Changes
- Tests of equal forecast accuracy and encompassing for nested models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
