UCSD, Economics Working Paper No. 2002-14, Universitat Pompeu Fabra Working Paper No
42 Pages Posted: 17 Dec 2002
Date Written: September 2002
We propose a new family of density function that posses both flexibility and closed form expressions for moments and anti-derivatives, making them particularly appealing for applications. We illustrate its usefulness by applying our new family to obtain density forecasts of U.S. inflation. Our methods generate forecasts that improve on standard methods based on AR-ARCH models relying on normal or Student's t-distributional assumptions.
Keywords: ARMA-GARCH models, Neutral Networks, Nonparametric Density Estimation, Forecast Accuracy
JEL Classification: C63, C53, C45
Suggested Citation: Suggested Citation