Inflation Forecasting for Pakistan in a Data-rich Environment
Syed Ateeb Akhter Shah,
Muhammad Ishtiaq,
Sumbal Qureshi
et al.
Abstract:This paper uses machine learning methods to forecast the year-on-year CPI inflation of Pakistan and compare their forecasting performance against the comprehensive traditional forecasting suite contained in Hanif and Malik (2015). It also augments the comprehensive forecasting suite with the dynamic factor model which is able to handle a large amount of information and put all of these models in competition against the latest machine learning models. A set of 117 predictors covering a period of July 1995 to Ju… Show more
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