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Has US inflation really become harder to forecast?

Markku Lanne and Jani Luoto

Economics Letters, 2012, vol. 115, issue 3, 383-386

Abstract: Since the mid-1980s, Phillips curve forecasts of US inflation have been inferior to those of a conventional causal autoregression. However, little change in forecast accuracy is detected against the benchmark of a noncausal autoregression, more accurately characterizing US inflation dynamics.

Keywords: Inflation forecast; Noncausal time series; Phillips curve (search for similar items in EconPapers)
JEL-codes: C22 C53 E31 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Has U.S. Inflation Really Become Harder to Forecast? (2010) Downloads
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DOI: 10.1016/j.econlet.2011.12.088

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