Forecasting Inflation: the Relevance of Higher Moments

Jane M. Binner, Thomas Elger, Barry Jones and Birger Nilsson
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Jane M. Binner: Aston University

No 407, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: 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

Keywords: relative price distribution; higher moments; out-of-sample inflation forecasting (search for similar items in EconPapers)
JEL-codes: C22 C43 E27 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:407

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