Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation

Volume: 40, Issue: 3, Pages: 807 - 826
Published: May 1, 2011
Abstract
This article evaluates various models’ predictive power for U.S. inflation rate using a simulated out-of-sample forecasting framework. The starting point is the traditional unemployment Phillips curve. We show that a factor Phillips curve model is superior to the traditional Phillips curve, and its performance is comparable to other factor models. We find that a factor AR model is superior to the factor Phillips curve model, and is the best...
Paper Details
Title
Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation
Published Date
May 1, 2011
Volume
40
Issue
3
Pages
807 - 826
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