Forecasting Inflation in China
17 Pages Posted: 17 Apr 2008
Date Written: January 27, 2008
This paper forecasts inflation in China over a 12-month horizon. The analysis runs 15 alternative models and finds that only those considering many predictors via a principal component display a better relative forecasting performance than the univariate benchmark.
Keywords: inflation forecasting, data-rich environment, principal components, China
JEL Classification: C53, E31
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