12:00—12:45
Forecasting U.S. Inflation using U.C. Phillips Curve Model
Zhaokun Zhang (VU University Amsterdam)

Abstract: We examine the predicting ability of different forecasting models for quarterly U.S. inflation. In particular, we consider the Phillips curve model and its extension with unobserved component. We compare the predicting ability with a set of univariate time series models. For all these models, we extend them with time-varying coefficients. Several tests are conducted to show the significance of the forecasting performance for several forecast horizons and for a rolling window evaluation. The results indicate that the unobserved component (UC) Phillips curve model produces the highest forecasting precision for U.S. inflation among the considered candidates.

Field: Econometrics

12:45—13:30
Presenter: Sylvia Bleker (VU VU University Amsterdam)

Field: Spatial Economics