New methods for forecasting inflation and its sub-components: application to the USA
New methods for forecasting inflation and its sub-components: application to the USA
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预测通货膨胀及其子组成部分的新方法：在美国的应用
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
J. Muellbauer
中科院分区：
文献类型：
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作者：
J. Aron;J. Muellbauer
本报告预测美国未来12个月的通胀率，以环比加权个人消费支出平减指数PC及其三个主要组成部分：非耐用品、耐用品和服务衡量。月模型估计为1974年至1999年，伪样本预测性能进行了检查，为2000年至2007年。将许多不同信息集的替代预测方法与基准单变量自回归模型进行比较。一般来说，相对于基准模型，聚合模型和组件模型的性能表现显著优于基准模型。均衡修正项的组合，这使得相对价格的逐步调整到通货膨胀过程中，和非线性，代理国家在通货膨胀过程中的依赖性，是重要的贡献，这一表现。也有证据表明，预测池或平均提高预测性能。通过加权的三个组成部分的预测构造的间接预测进行比较，从总PC的直接预测。在大多数情况下，间接方法优于直接方法。一个关键的创新是比较标准的AR或VAR方法，使用信息标准来选择大的长度，与参数化，其中较长的滞后出现在简约的形式。另一个是将一般的无限制模型与Autometrics，Doornik（2008）选择的相应的简约模型进行比较。
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, substantial out-performance is demonstrated for the aggregate and components models relative to benchmark models. The combination of equilibrium correction terms, which bring gradual adjustment of relative prices into the inflation process, and non-linearities, to proxy state dependence in the inflation process, is shown to contribute importantly to this out-performance. There is also evidence that forecast pooling or averaging improves forecast performance. The indirect forecasts constructed by weighting the three component forecasts are compared with the direct forecasts from the aggregate PC. In most cases, the indirect method outperforms the direct method. A key innovation is to compare standard AR or VAR methods of using an information criterion to select the large length, with a parameterization in which longer lags appear in parsimonious forms. Another is to compare general unrestricted models with corresponding parsimonious models selected by Autometrics, Doornik (2008).