Forecasting US inflation : Phillips curve, New Keynesian Phillips curve, or something else?
University of Wisconsin--Whitewater
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I utilize and compare several common inflation forecasting models, including traditional Phillips curve models and the New Keynesian Phillips curve, as well as several other time series models. I evaluate these models using RMSE over several forecast horizons, using three different measures of inflation: CPI inflation, PPI inflation, and GDP deflator inflation. I find that the theoretical Phillips curve models outperform other time series models, however, the performance is sensitive to the inflation measure used in estimation.
Inflation (Finance)--United States--Forecasting
Inflation (Finance)--United States--Mathematical models