Big data forecasting of South African inflation.

ABSTRACT: We investigate whether the use of statistical learning techniques and big data can enhance the accuracy of inflation forecasts. We make use of a large dataset for the disaggregated prices of consumption goods and services, which we partially reconstruct, and a large suite of different statistical learning and traditional time-series models. The results suggest that the statistical learning models are able to compete with most benchmarks over medium to longer horizons, despite the fact that we only have a relatively small sample of available data. This may imply that the ability of statistical learning models to explain nonlinear relationships, or as an alternative, restrict the set of predictors to relevant information, is of importance. These characteristics of the statistical learning mo

SUBMITTER: Botha B 

PROVIDER: S-EPMC9644019 | biostudies-literature | 2022 Nov

REPOSITORIES: biostudies-literature