EconStor >
Bank of Canada, Ottawa >
Bank of Canada Working Papers >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/53970
  
Title:Semi-structural models for inflation forecasting PDF Logo
Authors:Kichian, Maral
Rumler, Fabio
Corrigan, Paul
Issue Date:2010
Series/Report no.:Bank of Canada Working Paper 2010,34
Abstract:We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies. Structural estimation and testing is conducted using identification-robust methods that are valid whatever the identification status of the econometric model. We find that our semi-structural models perform better than various strictly structural and conventional time series models. In the latter case, forecasting performance is significantly better, both in the short run and in the medium run.
Subjects:Inflation and prices
Econometric and statistical methods
JEL:C13
C53
E31
Document Type:Working Paper
Appears in Collections:Bank of Canada Working Papers

Files in This Item:
File Description SizeFormat
64254557X.pdf206.26 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/53970

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.