Forecasting inflation in post-oil boom years: A case for non-linear models?

Vugar Ahmadov, Shaig Adigozalov (), Salman Huseynov (), Fuad Mammadov () and Vugar Rahimov
Additional contact information
Shaig Adigozalov: Central Bank of Azerbaijan Republic
Salman Huseynov: Central Bank of Azerbaijan Republic

No 1601, Working Papers from Central Bank of Azerbaijan Republic

Abstract: In this study, we investigate relative performance of various non-linear models against that of an autoregressive model in forecasting future inflation. We find that non-linear models have trivial forecast superiority over the univariate autoregressive model in terms of central forecast accuracy. They also perform poorly when their forecasts are measured against those of the 3 variables VAR model. In addition, we also show that non-linear models cannot beat the random walk in terms of central forecast accuracy which is in line with the previous literature on Azerbaijan during the post-oil boom years. However, we also demonstrate that non-linear models still have clear forecast advantage over both linear and random walk models in predicting forecast density.

Keywords: Forecasting; Bayesian methods; Non-linear models (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 C53 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2016-04-06
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://uploads.cbar.az/assets/02daf20c9530f5d1d8d854e77.pdf First version, 2016 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aze:wpaper:1601

Access Statistics for this paper

More papers in Working Papers from Central Bank of Azerbaijan Republic Contact information at EDIRC.
Bibliographic data for series maintained by Central Bank of Azerbaijan Republic ( this e-mail address is bad, please contact ).