Dear colleagues,
The Department of Economics cordially invites you to the WU Economics Research Seminar on
Wednesday, June 22nd,
with
Florian Huber
(University of Salzburg)
on
“Forecasting US Inflation using Bayesian Nonparametric Models”
Abstract: The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to
large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is nonparametric both in the conditional mean and in the error using Gaussian and Dirichlet processes, respectively. We discuss how both these features
may be important in producing accurate forecasts of inflation. In a forecasting exercise involving CPI inflation, we find that our approach has substantial benefits, both overall and in the left tail, with nonparametric modeling of the conditional mean being
of particular importance.
Date: Wednesday,
June 22nd
Time:
4.30 to 6 pm (CET)
Location: building TC, ground floor, room TC.5.18
With best regards,
Harald Oberhofer
---
Univ.-Prof. Dr. Harald Oberhofer
Department of Economics
WU Vienna University of Economics and Business
Phone: +43/1/31336-4984
Email:
harald.oberhofer@wu.ac.at
Webpage:
https://www.wu.ac.at/ie/mitarbeiter/harald-oberhofer/
Austrian Institute of Economic Research (WIFO)
Phone: +43/1/7982601-468
Email:
harald.oberhofer@wifo.ac.at
Webpage:
http://www.wifo.ac.at/harald_oberhofer