Forecasting Inflation with Thick Models and Neural Networks
35 Pages Posted: 14 Oct 2004
Date Written: April 2004
Abstract
This paper applies linear and neural network-based "thick" models for forecasting inflation based on Phillips-curve formulations in the USA, Japan and the euro area. Thick models represent "trimmed mean" forecasts from several neural network models. They outperform the best performing linear models for "real-time" and "bootstrap" forecasts for service indices for the euro area, and do well, sometimes better, for the more general consumer and producer price indices across a variety of countries.
Keywords: Neural Networks, Thick Models, Phillips curves, real-time
JEL Classification: C12, E31
Suggested Citation: Suggested Citation
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