Abstract
In this paper we compared the nonparametric kernel estimates and the ARIMA estimates of Canadian inflationary expectations. The kernel estimates turned out to be superior with respect to post-sample predictions irrespective of the method used for selecting the bandwidth.
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I wish to thank B. Raj, U. L. G. Rao, S. Stengos, and anonymous referees for helpful comments.
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Ogwang, T. A comparison of the kernel and the ARIMA estimates of inflationary expectations: Some evidence from Canada. Empirical Economics 18, 281–288 (1993). https://doi.org/10.1007/BF01205403
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DOI: https://doi.org/10.1007/BF01205403